On exponential functionals of Lévy processes
From MaRDI portal
Publication:495707
Abstract: Exponential functionals of L'evy processes appear as stationary distributions of generalized Ornstein-Uhlenbeck (GOU) processes. In this paper we obtain the infinitesimal generator of the GOU process and show that it is a Feller process. Further we use these results to investigate properties of the mapping Phi, which maps two independent L'evy processes to their corresponding exponential functional, where one of the processes is assumed to be fixed. We show that in many cases this mapping is injective and give the inverse mapping in terms of (L'evy) characteristics. Also, continuity of Phi is treated and some results on its range are obtained.
Recommendations
Cites work
- scientific article; zbMATH DE number 1639847 (Why is no real title available?)
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 3426529 (Why is no real title available?)
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 19579 (Why is no real title available?)
- scientific article; zbMATH DE number 3533576 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1163909 (Why is no real title available?)
- scientific article; zbMATH DE number 2031102 (Why is no real title available?)
- scientific article; zbMATH DE number 2149876 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 837326 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3319139 (Why is no real title available?)
- Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
- Continuous time Markov processes. An introduction.
- Distributional properties of exponential functionals of Lévy processes
- Distributional properties of solutions of \(\text dV_{T} = V_{T-} \text dU_{T} + \text dL_T\) with Lévy noise
- Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
- Exponential functionals of Brownian motion and related processes
- Introductory lectures on fluctuations of Lévy processes with applications.
- Lévy Processes and Stochastic Calculus
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
- Markov processes, semigroups and generators.
- Nouvelles classes de lois limites
- On distributional properties of perpetuities
- On the Zeros and the Argument of a Characteristic Function
- On the distribution of a randomly discounted compound Poisson process
- Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
- Quelques problèmes non résolus de la théorie des fonctions caractéristiques
- Risk theory in a stochastic economic environment
- Some properties of exponential integrals of Levy processes and examples
- Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
- Stochastic integration theory.
- Tail asymptotics for exponential functionals of Lévy processes
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- The symbol associated with the solution of a stochastic differential equation
- Transformations of infinitely divisible distributions via improper stochastic integrals
Cited in
(31)- Exponential functionals of Markov additive processes
- Implicit renewal theory for exponential functionals of Lévy processes
- Exact long time behavior of some regime switching stochastic processes
- On the law of killed exponential functionals
- A criterion for invariant measures of Itô processes based on the symbol
- Ergodic properties of generalized Ornstein-Uhlenbeck processes
- scientific article; zbMATH DE number 1492757 (Why is no real title available?)
- scientific article; zbMATH DE number 90424 (Why is no real title available?)
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits
- Exponential functionals of Lévy processes with jumps
- Excursions and Lévy system of boundary process
- On modality of Lévy processes corresponding to mixtures of two exponential distributions
- Functional estimation for Lévy measures of semimartingales with Poissonian jumps
- Revisiting integral functionals of geometric Brownian motion
- Continuity properties and the support of killed exponential functionals
- Distribution of some functionals for a L\'evy process with matrix-exponential jumps of the same sign
- Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case
- On the range of exponential functionals of Lévy processes
- Solutions of Lévy-driven SDEs with unbounded coefficients as Feller processes
- Asymptotic results for exponential functionals of Lévy processes
- On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale
- Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Sur les fonctionnelles exponentielles de certains processus de lévy
- On Exponential Functionals of Processes with Independent Increments
- On distributions of exponential functionals of the processes with independent increments
- scientific article; zbMATH DE number 1639847 (Why is no real title available?)
- Ergodic aspects of some Ornstein-Uhlenbeck type processes related to Lévy processes
- Tail asymptotics for exponential functionals of Lévy processes
- Existence and estimates of moments for Lévy-type processes
- Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration
This page was built for publication: On exponential functionals of Lévy processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q495707)
