Sur les fonctionnelles exponentielles de certains processus de lévy
From MaRDI portal
Publication:4840926
DOI10.1080/17442509408833883zbMath0830.60072OpenAlexW1974507398MaRDI QIDQ4840926
Marc Yor, Philippe Carmona, Frédérique Petit
Publication date: 28 January 1996
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509408833883
Brownian motion (60J65) Markov processes (60J99) Multiplicative functionals and Markov processes (60J57)
Related Items
The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX, Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion, On powers of Stieltjes moment sequences. II, Fractional intertwinings between two Markov semigroups, Asymptotic results for exponential functionals of Lévy processes, Long-time behavior of Lévy-driven Ornstein–Uhlenbeck processes with regime switching, Intertwining certain fractional derivatives, On the local times of noise reinforced Bessel processes, On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes, On temporally completely monotone functions for Markov processes, A refined factorization of the exponential law, Proof of a conjecture by Gazeau et al. using the Gould-Hopper polynomials, Markov processes, time-space harmonic functions and polynomials, Ruin probabilities and penalty functions with stochastic rates of interest, Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups, Large Deviations for Clocks of Self-similar Processes, Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes, Path decompositions of perturbed reflecting Brownian motions, A transformation for spectrally negative Lévy processes and applications, Recurrent extensions of self-similar Markov processes and Cramér's condition, Asymmetric skew Bessel processes and their applications to finance, On the finiteness and tails of perpetuities under a Lamperti–Kiu MAP
