Distributional properties of exponential functionals of Lévy processes

DOI10.1214/EJP.V17-1755zbMATH Open1246.60073arXiv1105.6365MaRDI QIDQ428611FDOQ428611

Authors: Alexey Kuznetsov, J. C. Pardo, Mladen Savov 

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We study the distribution of the exponential functional $I(xi,eta)=in{t}_0^{infty}exp(x{i}_{t-})det{a}_t$, where $xi$ and $eta$ are independent L'evy processes. In the general setting using the theories of Markov processes and Schwartz distributions we prove that the law of this exponential functional satisfies an integral equation, which generalizes Proposition 2.1 in Carmona et al "On the distribution and asymptotic results for exponential functionals of Levy processes". In the special case when $eta$ is a Brownian motion with drift we show that this integral equation leads to an important functional equation for the Mellin transform of $I(xi,eta)$, which proves to be a very useful tool for studying the distributional properties of this random variable. For general L'evy process $xi$ ($eta$ being Brownian motion with drift) we prove that the exponential functional has a smooth density on $setminus0$, but surprisingly the second derivative at zero may fail to exist. Under the additional assumption that $xi$ has some positive exponential moments we establish an asymptotic behaviour of $p(I(xi,eta)>x)$ as $xo+infty$, and under similar assumptions on the negative exponential moments of $xi$ we obtain a precise asympotic expansion of the density of $I(xi,eta)$ as $xo0$. Under further assumptions on the L'evy process $xi$ one is able to prove much stronger results about the density of the exponential functional and we illustrate some of the ideas and techniques for the case when $xi$ has hyper-exponential jumps.

Full work available at URL: https://arxiv.org/abs/1105.6365

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zbMATH Keywords

Mellin transformasymptotic expansionsintegral equationsexponential functionalLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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