Exponential functionals of Levy processes

被引：124
作者：
Bertoin, Jean [1 ]
Yor, Marc
机构：
[1] Univ Paris 06, Lab Probabil, 175 Rue Chevaleret, F-75013 Paris, France
来源：
PROBABILITY SURVEYS | 2005年 / 2卷
关键词：
Levy process; exponential functional; subordinator; self-similar Markov process; moment problem;
D O I：
10.1214/154957805100000122
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This text surveys properties and applications of the exponential functional integral(t)(0) exp( -xi(s)) ds of real-valued Levy processes xi = ( xi(t) , t >= 0).
引用
收藏
页码：191 / 212
页数：22
相关论文
共 71 条
[1]  
Baldi P, 2001, REV MAT IBEROAM, V17, P587
[2]   A transformation from Hausdorff to Stieltjes moment sequences [J].
Berg, C ;
Durán, AJ .
ARKIV FOR MATEMATIK, 2004, 42 (02) :239-257
[3]  
Bertoin J, 2004, PROG PROBAB, V58, P45
[4]   Asymptotic laws for nonconservative self-similar fragmentations [J].
Bertoin, J ;
Gnedin, AV .
ELECTRONIC JOURNAL OF PROBABILITY, 2004, 9 :575-593
[5]   The asymptotic behavior of fragmentation processes [J].
Bertoin, J .
JOURNAL OF THE EUROPEAN MATHEMATICAL SOCIETY, 2003, 5 (04) :395-416
[6]  
Bertoin J, 2002, BERNOULLI, V8, P195
[7]   The entrance laws of self-similar Markov processes and exponential functionals of Levy processes [J].
Bertoin, J ;
Yor, M .
POTENTIAL ANALYSIS, 2002, 17 (04) :389-400
[8]   Self-similar fragmentations [J].
Bertoin, J .
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2002, 38 (03) :319-340
[9]  
Bertoin J, 1997, B SCI MATH, V121, P345
[10]  
Bertoin J., 1996, LEVY PROCESSES
12345678