Implicit renewal theory for exponential functionals of Lévy processes

DOI10.1016/j.spa.2023.06.004zbMath1517.60115arXiv1510.01809OpenAlexW2216213908MaRDI QIDQ6171652

Publication date: 14 August 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.01809

zbMATH Keywords

Lévy processes integral equations exponential functionals tail asymptotics factorisations in law

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Self-similar stochastic processes (60G18) Renewal theory (60K05)

Related Items (1)

Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive

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