On exponential functionals of Lévy processes
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Publication:495707
DOI10.1007/S10959-013-0507-YzbMATH Open1323.60063arXiv1301.3272OpenAlexW2158732707MaRDI QIDQ495707FDOQ495707
Authors: Anita Behme, Alexander Lindner 
Publication date: 15 September 2015
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1301.3272
Recommendations
stationarityFeller processinfinitesimal generatorexponential functionalsgeneralized Ornstein-Uhlenbeck processintegral mappingLévy processes
Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Stationary stochastic processes (60G10) Transition functions, generators and resolvents (60J35)
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