Bivariate Bernstein-gamma functions, potential measures, and asymptotics of exponential functionals of Lévy processes

Martin Minchev, Mladen Savov

Let $\xi$ be a Lévy process and $I_{\xi }(t):={\int }_0^t{e}^{-{\xi }_s}\mathrm{d}s$, $t\ge 0,$ be the exponential functional of Lévy processes on deterministic horizon. Given that $\lim_{t\to…