Exponential functional of Levy processes: Generalized Weierstrass products and Wiener-Hopf factorization

被引：17

作者：

Patie, Pierre ^{[1
]}

Savoy, Mladen ^{[2
]}

机构：

[1] Cornell Univ, Sch Operat Res & Informat Engn, Ithaca, NY 14853 USA

[2] Univ Reading, Dept Math & Stat, Reading RG6 6AX, Berks, England

来源：

COMPTES RENDUS MATHEMATIQUE | 2013年 / 351卷 / 9-10期

关键词：

LAW;

D O I：

10.1016/j.crma.2013.04.023

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this note, we state a representation of the Mellin transform of the exponential functional of Levy processes in terms of generalized Weierstrass products. As by-product, we obtain a multiplicative Wiener-Hopf factorization generalizing previous results obtained by Patie and Savoy (2012) [14] as well as smoothness properties of its distribution. (C) 2013 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.

引用

页码：393 / 396

页数：4

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