This text surveys properties and applications of the exponential functional $\int_{0}^{t}\exp(-\xi_s)ds$ of real-valued Lévy processes $\xi=(\xi_t, t\geq0)$.
Publié le : 2004-12-13
Classification:
self-similar Markov process,
moment problem,
Lévy process,
exponential functional,
subordinator,
AMS 60 G 51, 60 G 18,
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
@article{hal-00003548,
author = {Bertoin, Jean and Yor, Marc},
title = {Exponential Functionals of L\'evy Processes},
journal = {HAL},
volume = {2004},
number = {0},
year = {2004},
language = {en},
url = {http://dml.mathdoc.fr/item/hal-00003548}
}
Bertoin, Jean; Yor, Marc. Exponential Functionals of Lévy Processes. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00003548/