Let $(\xi,\eta)$ be a bivariate L\'evy process such that the integral $\int\_0^\infty e^{-\xi\_{t-}} d\eta\_t$ converges almost surely. We characterise, in terms of their \LL measures, those L\'evy processes for which (the distribution of) this integral has atoms. We then turn attention to almost surely convergent integrals of the form $I:=\int\_0^\infty g(\xi\_t) dt$, where $g$ is a deterministic function. We give sufficient conditions ensuring that $I$ has no atoms, and under further conditions derive that $I$ has a Lebesgue density. The results are also extended to certain integrals of the form $\int\_0^\infty g(\xi\_t) dY\_t$, where $Y$ is an almost surely strictly increasing stochastic process, independent of $\xi$.

Bertoin, Jean; Lindner, A; Maller, R (2008). *On continuity properties of the law of integrals of Lévy processes.* Lecture Notes in Mathematics, 1934:137-159.

## Abstract

Let $(\xi,\eta)$ be a bivariate L\'evy process such that the integral $\int\_0^\infty e^{-\xi\_{t-}} d\eta\_t$ converges almost surely. We characterise, in terms of their \LL measures, those L\'evy processes for which (the distribution of) this integral has atoms. We then turn attention to almost surely convergent integrals of the form $I:=\int\_0^\infty g(\xi\_t) dt$, where $g$ is a deterministic function. We give sufficient conditions ensuring that $I$ has no atoms, and under further conditions derive that $I$ has a Lebesgue density. The results are also extended to certain integrals of the form $\int\_0^\infty g(\xi\_t) dY\_t$, where $Y$ is an almost surely strictly increasing stochastic process, independent of $\xi$.

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## Additional indexing

Item Type: | Journal Article, refereed, original work |
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Communities & Collections: | 07 Faculty of Science > Institute of Mathematics |

Dewey Decimal Classification: | 510 Mathematics |

Language: | English |

Date: | 2008 |

Deposited On: | 29 May 2013 15:19 |

Last Modified: | 05 Apr 2016 16:47 |

Publisher: | Springer |

ISSN: | 0075-8434 |

Publisher DOI: | https://doi.org/10.1007/978-3-540-77913-1_6 |

Related URLs: | http://www.ams.org/mathscinet-getitem?mr=2483729 http://www.zentralblatt-math.org/zbmath/search/?q=an%3A1180.60042 |

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