Some properties of exponential integrals of Levy processes and examples

DOI10.1214/ECP.V11-1232MaRDI QIDQ2461000zbMATH OpenFDO

Authors Hitoshi Kondo, M. Maejima, Ken-Iti Sato

Publication date 19 November 2007

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0606084, https://eudml.org/doc/128415

zbMATH Keywords

Levy processselfdecomposabilitysemi-selfdecomposabilitystochastic integral

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Abstract: The improper stochastic integral $Z=in{t}_0^{infty-}exp(-X_{s-})d{Y}_s$ is studied, where $(X_t,Y_t),tgeqslant0$ is a L'evy process on $mathbb{R}^{1+d}$ with $X_t$ and $Y_t$ being $mathbbR$-valued and $mathbb{R}^d$-valued, respectively. The condition for existence and finiteness of $Z$ is given and then the law $mathcalL(Z)$ of $Z$ is considered. Some sufficient conditions for $mathcalL(Z)$ to be selfdecomposable and some sufficient conditions for $mathcalL(Z)$ to be non-selfdecomposable but semi-selfdecomposable are given. Attention is paid to the case where $d=1$, $X_t$ is a Poisson process, and $X_t$ and $Y_t$ are independent. An example of $Z$ of type $G$ with selfdecomposable mixing distribution is given.

Review text

Let \((X_{t},Y_{t})_{t\geq 0}\) be a Lévy process on \( \mathbb{R}^{1+d}\), with \((X_{t})_{t\geq 0}\) and \((Y_{t})_{t\geq 0}\) being \( \mathbb{R}\)-valued and \(\mathbb{R}^{d}\)-valued, respectively. The authors give conditions for existence and finiteness of the improper stochastic integral \(Z=\int_{0}^{\infty -}\exp (-X_{s-})\,dY_{s},\) and the law \( \mathcal{L}\left( Z\right) \) of \(Z\) is then considered. Sufficient conditions for \(\mathcal{L}\left( Z\right) \) to be either selfdecomposable or non-selfdecomposable but semi-selfdecomposable are given. The case where \( d=1,\;(X_{t})_{t\geq 0}\) and \((Y_{t})_{t\geq 0}\) are independent and the former is a Poisson process, is paid special attention. An example is given of a \(Z\) of the form \(Z\overset{\mathrm{d}}{=}V^{1/2}W\), with independent random variables \(V\) and \(W\), where \(V\) is non-negative infinitely divisible and selfdecomposable while \(W\) is a standard normal variable.

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Cited in

(13)

• Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
• Exponential stopping and drifted stable processes
• Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
• Classes of infinitely divisible distributions and examples
• Properties of stationary distributions of a sequence of generalized Ornstein -- Uhlenbeck processes
• On continuity properties of the law of integrals of Lévy processes
• On the Mean of a Stochastic Integral with Non-Gaussian α-Stable Noise
• scientific article; zbMATH DE number 1494213 (Why is no real title available?)
• On exponential functionals of Lévy processes
• Two families of improper stochastic integrals with respect to Lévy processes
• Integral functionals for spectrally positive Lévy processes
• The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes
• Selfdecomposability and semi-selfdecomposability in subordination of cone-parameter convolution semigroups

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