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

DOI10.1016/J.CRMA.2013.04.023zbMath1273.60057OpenAlexW2044403606MaRDI QIDQ357426

Pierre Patie, Mladen Svetoslavov Savov

Publication date: 30 July 2013

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2013.04.023

zbMATH Keywords

Wiener-Hopf factorizationexponential functional

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (10)

Spectral expansions of non-self-adjoint generalized Laguerre semigroups ⋮ Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ Ergodic properties of generalized Ornstein-Uhlenbeck processes ⋮ Implicit renewal theory for exponential functionals of Lévy processes ⋮ Exponential functionals of Lévy processes and variable annuity guaranteed benefits ⋮ On the law of homogeneous stable functionals ⋮ Asian options and meromorphic Lévy processes ⋮ Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups ⋮ Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution ⋮ Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive

Cites Work

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• A Wiener-Hopf type factorization for the exponential functional of Lévy processes
• Exponential functionals of Brownian motion and related processes

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