Year: 2015
Type: preprint
Abstract: We study the exponential functional $\int_0^\infty e^{-ξ_{s-}} \, dη_s$ of two one-dimensional independent Lévy processes $ξ$ and $η$, where $η$ is a subordinator. In particular, we derive an integro-differential equation for the density of the exponential functional whenever it exists. Further, we consider the mapping $Φ_ξ$ for a fixed Lévy process $ξ$, which maps the law of $η_1$ to the law of the corresponding exponential functional $\int_0^\infty e^{-ξ_{s-}} \, dη_s$, and study the behaviour of the range of $Φ_ξ$ for varying characteristics of $ξ$. Moreover, we derive conditions for selfdecomposable distributions and generalized Gamma convolutions to be in the range. On the way we also obtain new characterizations of these classes of distributions.
Source: arXiv (Cornell University)
Author: Behme, Anita
Institution: Technical University of Munich
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1597286733