Statistical inference for exponential functionals of Lévy processes

Denis Belomestny, Vladimir Panov

In this paper, we consider the exponential functional \(A_{\infty}=\int_0^\infty e^{-ξ_s}ds\) of a L{é}vy process \(ξ_s\) and aim to estimate the characteristics of \(ξ_{s}\) from…