Exponential functionals of Levy processes

Details Exponential functionals of Levy processes Exponential functionals of Levy processes

2005-11-10

arxiv.org/abs/math/0511265v1

Probability Surveys 2005, Vol. 2, 191-212

Mathematics

Probability

Published at http://dx.doi.org/10.1214/154957805100000122 in the Probability Surveys (http://www.i-journals.org/ps/) by the In

Scientific paper

10.1214/154957805100000122

This text surveys properties and applications of the exponential functional
$\int_0^t\exp(-\xi_s)ds$ of real-valued L\'evy processes $\xi=(\xi_t,t\geq0)$.

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