On the distribution of exponential functionals for Levy processes with jumps of rational transform

Details On the distribution of exponential functionals for Levy processes with jumps of rational transform On the distribution of exponential functionals for Levy processes with jumps of rational transform

2010-11-16

arxiv.org/abs/1011.3856v2

Stochastic Processes and their Applications, 122(2), 654-663, 2012

Mathematics

Probability

11 pages

Scientific paper

10.1016/j.spa.2011.09.007

We derive explicit formulas for the Mellin transform and the distribution of
the exponential functional for Levy processes with rational Laplace exponent.
This extends recent results by Cai and Kou on the processes with
hyper-exponential jumps [N. Cai and S. Kou "Prising Asian options under a
general jump diffusion model", (2010)].

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