Some properties of exponential integrals of Levy processes and examples

Publication date 19 November 2007

Abstract: The improper stochastic integral

Z = i n t_{0}^{i n f t y -} e x p (- X_{s -}) d Y_{s}

is studied, where

(X_{t}, Y_{t}), t g e q s l a n t 0

is a L'evy process on

m a t h b b R^{1 + d}

with

X_{t}

and

Y_{t}

being

m a t h b b R

-valued and

m a t h b b R^{d}

-valued, respectively. The condition for existence and finiteness of

Z

is given and then the law

m a t h c a l L (Z)

of

Z

is considered. Some sufficient conditions for

m a t h c a l L (Z)

to be selfdecomposable and some sufficient conditions for

m a t h c a l L (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.

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