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math.PR2011★ 8 cited
On the density of exponential functionals of Lévy processes
Juan Carlos Pardo, Victor Rivero, Kees van Schaik
In this paper, we study the existence of the density associated to the exponential functional of the Lévy process , \[ I_{\ee_q}:=\int_0^{\ee_q} e^{ξ_s} \, \mathrm{d}s, \] where…
math.PR2008★ 2 cited
Exact and asymptotic -tuple laws at first and last passage
A. Kyprianou, J. C. Pardo, V. Rivero
Understanding the space-time features of how a Lévy process crosses a constant barrier for the first time, and indeed the last time, is a problem which is central to many models in…