On the density of exponential functionals of Lévy processes

Abstract

In this paper, we study the existence of the density associated to the exponential functional of the Lévy process $\xi$, \[ I_{\ee_q}:=\int_0^{\ee_q} e^{ξ_s} \, \mathrm{d}s, \] where $\ee_q$ is an independent exponential r.v. with parameter $q\ge 0$. In the case when $\xi$ is the negative of a subordinator, we prove that the density of $I_{\ee_q}$, here denoted by $k$, satisfies an integral equation that generalizes the one found by Carmona et al. \cite{Carmona97}. Finally when $q=0$, we describe explicitly the asymptotic behaviour at 0 of the density $k$ when $\xi$ is the negative of a subordinator and at $\infty$ when $\xi$ is a spectrally positive Lévy process that drifts to $+\infty$.

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References in corpus (3)

• Recurrent extensions of self-similar Markov processes and Cramér's condition II
• Special, conjugate and complete scale functions for spectrally negative Lévy processes
• A transformation for Lévy processes with one-sided jumps and applications