Exponential functionals of Lévy processes

Bertoin, Jean (2005). Exponential functionals of Lévy processes. Probability Surveys, 2:191-212.

Abstract

This text surveys properties and applications of the exponential functional $int_{0}^{t}exp(-xi_s)ds$ of real-valued Lévy processes $xi=(xi_t, tgeq0)$.

Abstract

This text surveys properties and applications of the exponential functional $int_{0}^{t}exp(-xi_s)ds$ of real-valued Lévy processes $xi=(xi_t, tgeq0)$.

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Item Type: Journal Article, refereed, original work 07 Faculty of Science > Institute of Mathematics 510 Mathematics English 2005 13 Jun 2013 10:59 05 Apr 2016 16:48 Institute of Mathematical Statistics 1549-5787 Publisher DOI. An embargo period may apply. https://doi.org/10.1214/154957805100000122 http://www.ams.org/mathscinet-getitem?mr=2178044http://www.zentralblatt-math.org/zbmath/search/?q=an%3A1189.60096