Exponential Functionals of Lévy Processes

Abstract

The distribution of the terminal value A∞ of the exponential functional $$ {A_t}(\xi ) = \smallint _0^t{e^{{\xi _s}}}ds $$ of a Lévy process (ξ t ) t≥0 plays an important role in Mathematical Physics and Mathematical Finance. We show how this distribution can be computed by means of Lamperti’s transformation and generalized Ornstein-Uhlenbeck processes.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 62 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.