Exponential functionals of Lévy processes

2005/01/01 by Jean Bertoin, Marc Yor · 5 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Nonlinear Differential Equations Analysis #Probability and Risk Models #Stochastic processes and financial applications #math.PR #msc:18 #msc:44 #msc:51 #msc:55 #msc:60

paper · pdf · doi:10.1214/154957805100000122

published as Probability Surveys 2005, Vol. 2, 191-212 · Published at http://dx.doi.org/10.1214/154957805100000122 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)

openalex publication_date 2005/01/01 · arxiv created 2005/11/10 · arxiv updated 2009/12/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/08/01

Abstract

This text surveys properties and applications of the exponential functional t 0 exp(-s)ds of real-valued Lvy processes = (t, t 0).

Citations

• Random difference equations and Renewal theory for products of random matrices

Cited by

• Proof(s) of the Lamperti representation of continuous-state branching processes
• Recurrent extensions of self-similar Markov processes and Cramér’s condition II
• Asymptotic behaviour of exponential functionals of Lévy processes with applications to random processes in random environment
• Supersymmetric Quantum Mechanics with Lévy Disorder in One Dimension
• Jean Bertoin [wikipedia]