On the range of exponential functionals of Lévy processes

DOI10.1007/978-3-319-44465-9_10MaRDI QIDQ5270102zbMATH OpenOpenAlexFDO

Authors Anita Behme, Alexander Lindner, M. Maejima

Publication date 22 June 2017

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

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

zbMATH Keywords

weak convergenceexponential functionalsLévy processes

Mathematics Subject Classification ID

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

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.

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Cited in

(12)

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• Continuity properties and the support of killed exponential functionals
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