Exponential functionals of Lévy processes

Jean Bertoin; Marc Yor

doi:10.1214/154957805100000122

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Home > Journals > Probab. Surveys > Volume 2 > Article

2005 Exponential functionals of Lévy processes

Jean Bertoin, Marc Yor

Probab. Surveys 2: 191-212 (2005). DOI: 10.1214/154957805100000122

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Abstract

This text surveys properties and applications of the exponential functional $\int^t_0$exp$(-\xi_s)ds$ of real-valued Lévy processes $\xi = (\xi_t, t \geq 0)$.