On the range of exponential functionals of Lévy processes

DOI10.1007/978-3-319-44465-9_10zbMATH Open1367.60052arXiv1402.6559OpenAlexW1935553859MaRDI QIDQ5270102FDOQ5270102

Authors: Anita Behme, Alexander Lindner, M. Maejima 

Publication date: 22 June 2017

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Abstract: We characterize the support of the law of the exponential functional $in{t}_0^{i}nfty{e}^{-x{i}_{s-}},det{a}_s$ of two one-dimensional independent L'evy processes $xi$ and $eta$. Further, we study the range of the mapping $Ph{i}_{x}i$ for a fixed L'evy process $xi$, which maps the law of $et{a}_1$ to the law of the corresponding exponential functional $in{t}_0^{i}nfty{e}^{-x{i}_{s-}},det{a}_s$. It is shown that the range of this mapping is closed under weak convergence and in the special case of positive distributions several characterizations of laws in the range are given.

Full work available at URL: https://arxiv.org/abs/1402.6559

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zbMATH Keywords

weak convergenceexponential functionalsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Functional limit theorems; invariance principles (60F17)

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Cited In (12)

• Sur les fonctionnelles exponentielles de certains processus de lévy
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• The range of a perturbed Lévy process
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• Exponential functionals of Lévy processes and variable annuity guaranteed benefits
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• On the density of exponential functionals of Lévy processes
• On exponential functionals of Lévy processes
• Continuity properties and the support of killed exponential functionals
• On the law of killed exponential functionals

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