Moments of exponential functionals of L\'{e}vy processes on a deterministic horizon -- identities and explicit expressions

arXiv2303.02977MaRDI QIDQ6428504FDOQ6428504

Authors: Zbigniew Palmowski, Hristo Sariev, Mladen Savov 

Publication date: 6 March 2023

Abstract: In this work we consider moments of exponential functionals of L'{e}vy processes on deterministic horizon. We derive two convolutional identities regarding those moments. The first one relates the complex moments of general exponential functional of L'{e}vy process up to a deterministic time to those of the dual one. The second convolutional identity links the complex moments of the exponential functional of a general L'{e}vy process to those of the exponential functionals of its ascending/descending ladder heights taken on a random horizon determined by the respective local times. As a consequence of both we deduce a universal expression for the one half negative moment of the exponential functional of symmetric L'{e}vy process which is reminiscent of the universality for the passage time of symmetric random walk. In this work, under extremely mild conditions, we also obtain series expansion for the complex moments (including those with negative real part) of the exponential functionals of subordinators. This extends substantially previous results and offers neat expressions for the negative real moments. In a special case, it turns out that the Riemann zeta function is the minus first moment of the exponential functional of Gamma subordinator indexed in time.

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