Sur les fonctionnelles exponentielles de certains processus de lévy

DOI10.1080/17442509408833883zbMATH Open0830.60072OpenAlexW1974507398MaRDI QIDQ4840926FDOQ4840926

Authors: Philippe Carmona, F. Petit, Marc Yor

Publication date: 28 January 1996

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833883

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zbMATH Keywords

financial mathematics Asian option semi-stable Markov process Lévy process interlacing of semigroups

Mathematics Subject Classification ID

Markov processes (60J99) Brownian motion (60J65) Multiplicative functionals and Markov processes (60J57)

Cited In (38)

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Distribution of some functionals for a L\'evy process with matrix-exponential jumps of the same sign
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Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
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On powers of Stieltjes moment sequences. II
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