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

zbMath1355.60061arXiv1601.03463MaRDI QIDQ2954465

Juan Carlos Pardo, Charline Smadi, Sandra Palau

Publication date: 13 January 2017

Full work available at URL: https://arxiv.org/abs/1601.03463

zbMATH Keywords

asymptoticsLévy processesextinction probabilitydiffusionsrandom environmentexponential functionalcontinuous-state branching processeslogistic processexplosion probability

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Sample path properties (60G17) Processes in random environments (60K37) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Limit theorems in probability theory (60F99)

Related Items (9)

Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ Asymptotic results for exponential functionals of Lévy processes ⋮ Asymptotics for exponential functionals of random walks ⋮ Asymptotic results for heavy-tailed Lévy processes and their exponential functionals ⋮ Branching processes in a Lévy random environment ⋮ Long time behaviour of continuous-state nonlinear branching processes with catastrophes ⋮ Construction of continuous-state branching processes in varying environments ⋮ On the finiteness and tails of perpetuities under a Lamperti–Kiu MAP ⋮ Extinction rate of continuous state branching processes in critical Lévy environments

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