Exponential functionals of spectrally one-sided Levy processes conditioned to stay positive

被引：4

作者：

Vechambre, Gregoire ^{[1
,2
]}

机构：

[1] NYU Shanghai, Off 1133,1555 Century Ave, Shanghai 200122, Peoples R China

[2] NYU Shanghai, NYU ECNU Inst Math Sci, 3663 Zhongshan Rd North, Shanghai 200062, Peoples R China

来源：

ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 2019年 / 55卷 / 02期

关键词：

Levy processes conditioned to stay positive; Exponential functionals; Self-decomposable distributions; SIMILAR MARKOV-PROCESSES; RECURRENT EXTENSIONS; TAIL ASYMPTOTICS; DIFFUSION; TIME;

D O I：

10.1214/18-AIHP892

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：

We study the properties of the exponential functional integral(+infinity)(0) e(-X up arrow(t)) dt where X up arrow is a spectrally one-sided Levy process conditioned to stay positive. In particular, we study finiteness, self-decomposability, existence of finite exponential moments, asymptotic tail at 0 and smoothness of the density.

引用

页码：620 / 660

页数：41

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