Exponential functionals of Levy processes
Abstract
Description
This text surveys properties and applications of the exponential functional $\int_0^t\exp(-ξ_s)ds$ of real-valued Lévy processes $ξ=(ξ_t,t\geq0)$.
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)
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)