Asymptotics for densities of exponential functionals of subordinators
From MaRDI portal
Publication:6635736
DOI10.3150/23-bej1584MaRDI QIDQ6635736
Mladen Svetoslavov Savov, Martin Minchev
Publication date: 12 November 2024
Published in: Bernoulli (Search for Journal in Brave)
Lévy processesexponential functionalsPoisson processesBernstein functionssubordinatorsTauberian asymptotics
Processes with independent increments; Lévy processes (60G51) Distribution theory (60E99) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Cites Work
- Unnamed Item
- Unnamed Item
- Self-similar scaling limits of Markov chains on the positive integers
- Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization
- On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
- Extended factorizations of exponential functionals of Lévy processes
- Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
- Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
- Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
- Exponential functionals of Lévy processes
- Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration
- Entrance from \(0+\) for increasing semi-stable Markov processes
- The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes
- Bernstein-gamma functions and exponential functionals of Lévy processes
- Cauchy problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds for generalized Laguerre polynomials
- Asymptotic results for exponential functionals of Lévy processes
- Random planar maps and growth-fragmentations
- Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
- Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
- On the law of killed exponential functionals
- Asian options and meromorphic Lévy processes
- Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups
- Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution
- On the density of exponential functionals of Lévy processes
- Tail asymptotics for exponential functionals of Lévy processes
- Weak convergence of positive self-similar Markov processes and overshoots of Lévy processes
- Asymptotic behaviour of exponential functionals of L\'evy processes with applications to random processes in random environment
- A Wiener-Hopf type factorization for the exponential functional of Lévy processes
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- On a strong Tauberian result
- Tauberian Results for Densities with Gaussian Tails
- Spectral expansions of non-self-adjoint generalized Laguerre semigroups
- On exponential functionals, harmonic potential measures and undershoots of subordinators
- Asian Options Under One-Sided Lévy Models
- Bernstein functions. Theory and applications
- Exponential functionals of Brownian motion and related processes
- Non‐classical Tauberian and Abelian type criteria for the moment problem
- Tail asymptotics for extinction times of self-similar fragmentations
Related Items (2)
Regularity and asymptotics of densities of inverse subordinators ⋮ Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions
This page was built for publication: Asymptotics for densities of exponential functionals of subordinators