Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions

DOI10.3150/23-bej1684MaRDI QIDQ6589562

Hristo Sariev, Mladen Svetoslavov Savov, Zbigniew Palmowski

Publication date: 20 August 2024

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

Mellin transformLévy processesexponential functionalBernstein function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65)

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