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2005 Exponential functionals of Lévy processes
Jean Bertoin, Marc Yor
Probab. Surveys 2: 191-212 (2005). DOI: 10.1214/154957805100000122

Abstract

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

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Jean Bertoin. Marc Yor. "Exponential functionals of Lévy processes." Probab. Surveys 2 191 - 212, 2005. https://doi.org/10.1214/154957805100000122

Information

Published: 2005
First available in Project Euclid: 19 September 2005

zbMATH: 1189.60096
MathSciNet: MR2178044
Digital Object Identifier: 10.1214/154957805100000122

Subjects:
Primary: 60 G 51 , 60 J 55
Secondary: 44 A 60 , 60 G 18

Keywords: exponential functional , Lévy process , Moment problem , Self-similar Markov process , subordinator

Rights: Copyright © 2005 The Institute of Mathematical Statistics and the Bernoulli Society

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