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This article is cited in 9 scientific papers (total in 9 papers)
On exponential functionals of processes with independent increments
P. Salminena, L. Vostrikovab a Faculty of Science and Engineering, Åbo Akademi University, Åbo, Finland
b LAREMA, Département de Mathématiques, Université d'Angers, Angers, France
Abstract:
In this paper, we study the exponential functionals of the processes $X$ with independent increments, namely,
$I_t= \int_0^t\exp\{-X_s\}\,ds,\ t\geq 0$,
and also
$I_{\infty}= \int_0^{\infty}\exp\{-X_s\}\,ds$.
When $X$ is a semimartingale with absolutely continuous characteristics, we
derive necessary and sufficient conditions for the existence of the Laplace
exponent of $I_t$, and also the sufficient conditions of finiteness of the
Mellin transform $\mathbf{E}(I_t^{\alpha})$ with $\alpha\in \mathbf{R}$. We give
recurrent integral equations for this Mellin transform. Then we apply these
recurrent formulas to calculate the moments.
We also present the corresponding results for the exponential functionals of
Lévy processes, which hold under less restrictive conditions than in
[J. Bertoin and M. Yor, Probab. Surv., 2 (2005), pp. 191–212]. In
particular, we obtain an explicit formula for the moments of $I_t$ and
$I_{\infty}$, and we give the precise number of finite moments of $I_{\infty}$.
Keywords:
exponential functional, process with independent increments, Lévy process, Mellin transform, moments.
Received: 23.06.2016 Revised: 15.05.2017 Accepted: 08.08.2017
Citation:
P. Salminen, L. Vostrikova, “On exponential functionals of processes with independent increments”, Teor. Veroyatnost. i Primenen., 63:2 (2018), 330–357; Theory Probab. Appl., 63:2 (2018), 267–291
Linking options:
https://www.mathnet.ru/eng/tvp5180https://doi.org/10.4213/tvp5180 https://www.mathnet.ru/eng/tvp/v63/i2/p330
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