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On Exponential Functionals of Lévy Processes · Study

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ArticleOn Exponential Functionals of Lévy Processes

Anita Diana Behme2013

Article2013

On Exponential Functionals of Lévy Processes

Anita Diana Behme · Alexander Lindner

87 citations·0/0 files stored·Journal of Theoretical Probability

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

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References

2005Stochastic Integration and Differential Equations 2003Limit Theorems for Stochastic Processes 2004Lévy Processes and Stochastic Calculus 2001Exponential Functionals of Brownian Motion and Related Processes 2005Exponential functionals of Lévy processes 1993Risk theory in a stochastic economic environment 2007Stochastic Integration Theory

Cited by

2013Gerber–Shiu Risk Theory 2018Bernstein-gamma functions and exponential functionals of Lévy processes 2011STOCHASTIC INTEGRALS WITH RESPECT TO L´ EVY PROCESSES AND INFINITELY DIVISIBLE DISTRIBUTIONS 2011On the distribution of exponential functionals for Lévy processes with jumps of rational transform 2012Distributional properties of exponential functionals of Lévy processes

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Details

Year2013

Typearticle

Published2013-08-16

VenueJournal of Theoretical Probability

ISSN-L0894-9840

Languageen

Citations87

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10959-013-0507-y

openalex_workW2158732707

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