On exponential functionals of Lévy processes

DOI10.1007/s10959-013-0507-yzbMath1323.60063arXiv1301.3272OpenAlexW2158732707MaRDI QIDQ495707

Anita Behme, Alexander M. Lindner

Publication date: 15 September 2015

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

Full work available at URL: https://arxiv.org/abs/1301.3272

zbMATH Keywords

Lévy processesstationarityinfinitesimal generatorexponential functionalsFeller processgeneralized Ornstein-Uhlenbeck processintegral mapping

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Diffusion processes (60J60) Transition functions, generators and resolvents (60J35)

Related Items (16)

Solutions of Lévy-driven SDEs with unbounded coefficients as Feller processes ⋮ Exponential functionals of Markov additive processes ⋮ Ergodic properties of generalized Ornstein-Uhlenbeck processes ⋮ Ergodic aspects of some Ornstein-Uhlenbeck type processes related to Lévy processes ⋮ Revisiting integral functionals of geometric Brownian motion ⋮ Implicit renewal theory for exponential functionals of Lévy processes ⋮ Exact long time behavior of some regime switching stochastic processes ⋮ On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale ⋮ On distributions of exponential functionals of the processes with independent increments ⋮ Continuity properties and the support of killed exponential functionals ⋮ Existence and estimates of moments for Lévy-type processes ⋮ A criterion for invariant measures of Itô processes based on the symbol ⋮ On the law of killed exponential functionals ⋮ On Exponential Functionals of Processes with Independent Increments ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model ⋮ On the Range of Exponential Functionals of Lévy Processes

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