On distributions of exponential functionals of the processes with independent increments

DOI10.15559/20-VMSTA159zbMath1457.60065arXiv1804.07069OpenAlexW3122674739WikidataQ115513724 ScholiaQ115513724MaRDI QIDQ2218142

Lioudmila Vostrikova

Publication date: 14 January 2021

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.07069

zbMATH Keywords

exponential functionalprocess with independent incrementsKolmogorov-type equationsmoothness of the density

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

Cites Work

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