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
收藏
页码：620 / 660
页数：41
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