Exponential functionals of Levy processes

Abstract

This text surveys properties and applications of the exponential functional ${\int }_0^t\exp (-{\xi }_s)ds$ of real-valued Lévy processes $\xi =({\xi }_t,t\ge 0)$.

Published at http://dx.doi.org/10.1214/154957805100000122 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)

References in corpus (1)

• Asymptotic laws for compositions derived from transformed subordinators

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