On exponential functionals, harmonic potential measures and undershoots of subordinators

zbMath1332.60068arXiv1310.4955MaRDI QIDQ5179039

Wissem Jedidi, Larbi Alili, Víctor Manuel Rivero

Publication date: 19 March 2015

Full work available at URL: https://arxiv.org/abs/1310.4955

zbMATH Keywords

harmonic potentialLévy measureinfinite divisibilityexponential functionalssubordinatorsundershoots

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10)

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Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ Implicit renewal theory for exponential functionals of Lévy processes ⋮ New characterizations of completely monotone functions and Bernstein functions, a converse to Hausdorff's moment characterization theorem ⋮ Moment problems related to Bernstein functions ⋮ Three classes of decomposable distributions ⋮ Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution ⋮ On Doney's striking factorization of the arc-sine law ⋮ First passage times of subordinators and urns

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