Abstract
This text surveys properties and applications of the exponential functional $int_{0}^{t}exp(-xi_s)ds$ of real-valued Lévy processes $xi=(xi_t, tgeq0)$.
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 $xi=(xi_t, tgeq0)$.
Additional indexing
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 07 Faculty of Science > Institute of Mathematics |
| Dewey Decimal Classification: | 510 Mathematics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability |
| Language: | English |
| Date: | 2005 |
| Deposited On: | 13 Jun 2013 10:59 |
| Last Modified: | 30 Jul 2020 09:08 |
| Publisher: | Institute of Mathematical Statistics |
| ISSN: | 1549-5787 |
| OA Status: | Closed |
| Free access at: | Publisher DOI. An embargo period may apply. |
| Publisher DOI: | https://doi.org/10.1214/154957805100000122 |
| Related URLs: | http://www.ams.org/mathscinet-getitem?mr=2178044 http://www.zentralblatt-math.org/zbmath/search/?q=an%3A1189.60096 |
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Bertoin, Jean