Bernstein-gamma functions and exponential functionals of Lévy processes
نویسندگان
چکیده
منابع مشابه
Distributional properties of exponential functionals of Lévy processes ∗
We study the distribution of the exponential functional I(ξ, η) = ∫∞ 0 exp(ξt−)dηt, where ξ and η are independent Lévy processes. In the general setting, using the theory of Markov processes and Schwartz distributions, we prove that the law of this exponential functional satisfies an integral equation, which generalizes Proposition 2.1 in [9]. In the special case when η is a Brownian motion wit...
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2018
ISSN: 1083-6489
DOI: 10.1214/18-ejp202