On Exponential Functionals of Processes with Independent Increments

DOI10.1137/S0040585X97T989040zbMath1414.60033arXiv1610.08732OpenAlexW3125144330WikidataQ115525474 ScholiaQ115525474MaRDI QIDQ4961777

Lioudmila Vostrikova, Paavo H. Salminen

Publication date: 25 October 2018

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.08732

zbMATH Keywords

momentsMellin transformLévy processexponential functionalprocess with independent increments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (6)

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 moments of integral exponential functionals of additive processes ⋮ Discretization of the Lamperti representation of a positive self-similar Markov process

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