Bernstein-gamma functions and exponential functionals of Lévy processes (Q1663907): Difference between revisions

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English	Bernstein-gamma functions and exponential functionals of Lévy processes	scientific article

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scholarly article

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Bernstein-gamma functions and exponential functionals of Lévy processes (English)

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Electronic Journal of Probability

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publication date

24 August 2018

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full work available at URL

https://arxiv.org/abs/1604.05960

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https://projecteuclid.org/euclid.ejp/1532678638

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zbMATH Keywords

functional equations

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Wiener-Hopf factorization

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Bernstein functions

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Lévy processes

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MaRDI profile type

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Criticality for branching processes in random environment

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On exponential functionals, harmonic potential measures and undershoots of subordinators

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Analytical aspects of isospectral drums

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On powers of Stieltjes moment sequences. II

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A transformation from Hausdorff to Stieltjes moment sequences

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The law of the supremum of a stable Lévy process with no negative jumps

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Entrance from \(0+\) for increasing semi-stable Markov processes

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Random planar maps and growth-fragmentations

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Self-similar scaling limits of Markov chains on the positive integers

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Some applications of duality for Lévy processes in a half-line

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The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes

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On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes

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Exponential functionals of Lévy processes

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Macdonald processes

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Weak convergence of positive self-similar Markov processes and overshoots of Lévy processes

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Beta-gamma random variables and intertwining relations between certain Markov processes

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A note on a Poissonian functional and a \(q\)-deformed dufresne identity

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Strong stationary times via a new form of duality

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Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.

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The asymptotic behavior of densities related to the supremum of a stable process

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(Non)Differentiability and asymptotics for potential densities of subordinators

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Perpetuities with thin tails

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Quasi-stationary distributions and Yaglom limits of self-similar Markov processes

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Asian options and meromorphic Lévy processes

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Commutative harmonic analysis II. Group methods in commutative harmonic analysis. Transl. from the Russian

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On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator

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Pseudo differential operators and Markov processes. In 3 vol. Vol. 1: Fourier analysis and semigroups

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On the Asymptotic Behavior of the Probability of Non-Extinction for Critical Branching Processes in a Random Environment

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On extrema of stable processes

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On the density of the supremum of a stable process

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Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes

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Semi-Stable Stochastic Processes

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Asymptotic results for exponential functionals of Lévy processes

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Tail asymptotics for exponential functionals of Lévy processes

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On ergodic diffusions on continuous graphs whose centered resolvent admits a trace

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Asymptotic behaviour of exponential functionals of L\'evy processes with applications to random processes in random environment

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A Wiener-Hopf type factorization for the exponential functional of Lévy processes

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On the density of exponential functionals of Lévy processes

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Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration

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Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes

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Law of the absorption time of some positive self-similar Markov processes

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Asian Options Under One-Sided Lévy Models

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Extended factorizations of exponential functionals of Lévy processes

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Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization

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Cauchy problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds for generalized Laguerre polynomials

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Intertwining certain fractional derivatives

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Spectral decomposition of fractional operators and a reflected stable semigroup

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Recurrent extensions of self-similar Markov processes and Cramér's condition

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On distribution functions of class L

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Bernstein functions. Theory and applications

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Variants of the Wiener-Levy Theorem, with Applications to Stability Problems for Some Volterra Integral Equations

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The Supports of Infinitely Divisible Distribution Functions

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Log-convex solutions to the functional equation \(f(x+1)=g(x)f(x):\Gamma\)-type functions

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Exponential functionals of Brownian motion and related processes

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Identifiers

zbMATH Open document ID

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10.1214/18-EJP202

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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