Translator Disclaimer
2018 Bernstein-gamma functions and exponential functionals of Lévy processes
Pierre Patie, Mladen Savov
Electron. J. Probab. 23: 1-101 (2018). DOI: 10.1214/18-EJP202

Abstract

In this work we analyse the solution to the recurrence equation \[ M_\Psi (z+1)=\frac{-z} {\Psi (-z)}M_\Psi (z), \quad M_\Psi (1)=1, \] defined on a subset of the imaginary line and where $-\Psi $ is any continuous negative definite function. Using the analytic Wiener-Hopf method we solve this equation as a product of functions that extend the gamma function and are in bijection with the Bernstein functions. We call these functions Bernstein-gamma functions. We establish universal Stirling type asymptotic in terms of the constituting Bernstein function. This allows the full understanding of the decay of $\vert M_\Psi (z)\vert $ along imaginary lines and an access to quantities important for many studies in probability and analysis.

This functional equation is a central object in several recent studies ranging from analysis and spectral theory to probability theory. As an application of the results above, we study from a global perspective the exponential functionals of Lévy processes whose Mellin transform satisfies the equation above. Although these variables have been intensively studied, our new approach based on a combination of probabilistic and analytical techniques enables us to derive comprehensive properties and strengthen several results on the law of these random variables for some classes of Lévy processes that could be found in the literature. These encompass smoothness for its density, regularity and analytical properties, large and small asymptotic behaviour, including asymptotic expansions and bounds. We furnish a thorough study of the weak convergence of exponential functionals on a finite time horizon when the latter expands to infinity. We deliver intertwining relation between members of the class of positive self-similar semigroups.

Citation

Download Citation

Pierre Patie. Mladen Savov. "Bernstein-gamma functions and exponential functionals of Lévy processes." Electron. J. Probab. 23 1 - 101, 2018. https://doi.org/10.1214/18-EJP202

Information

Received: 8 October 2016; Accepted: 20 July 2018; Published: 2018
First available in Project Euclid: 27 July 2018

zbMATH: 1396.30001
MathSciNet: MR3835481
Digital Object Identifier: 10.1214/18-EJP202

Subjects:
Primary: 30D05, 33E99, 44A60, 60E07, 60G51, 60J55

JOURNAL ARTICLE
101 PAGES


SHARE
Vol.23 • 2018
Back to Top