Exponential functionals of L\'evy processes with jumps

zbMath1321.60092arXiv1504.03660MaRDI QIDQ2941800

Anita Behme

Publication date: 25 August 2015

Full work available at URL: https://arxiv.org/abs/1504.03660

zbMATH Keywords

Lévy processesstationarityexponential functionalself-decomposabilitygeneralized gamma convolutiongeneralized Ornstein-Uhlenbeck processintegral mappingCOGARCH volatility

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10)

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Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws ⋮ Exponential functionals of Markov additive processes ⋮ Revisiting integral functionals of geometric Brownian motion ⋮ On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale ⋮ On distributions of exponential functionals of the processes with independent increments ⋮ On the law of killed exponential functionals ⋮ On Exponential Functionals of Processes with Independent Increments

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