Exponential functionals of Levy processes

被引：120
|
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
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