1. On the Range of Exponential Functionals of Lévy Processes
- Author
-
Alexander Lindner, Anita Behme, and Makoto Maejima
- Subjects
010104 statistics & probability ,Range (mathematics) ,Weak convergence ,010102 general mathematics ,Mathematical analysis ,Compound Poisson process ,0101 mathematics ,01 natural sciences ,Lévy process ,Brownian motion ,Exponential function ,Mathematics ,Mathematical physics - Abstract
We characterize the support of the law of the exponential functional \(\int _{0}^{\infty }e^{-\xi _{s-}}\,d\eta _{s}\) of two one-dimensional independent Levy processes ξ and η. Further, we study the range of the mapping Φ ξ for a fixed Levy process ξ, which maps the law of η1 to the law of the corresponding exponential functional \(\int _{0}^{\infty }e^{-\xi _{s-}}\,d\eta _{s}\). It is shown that the range of this mapping is closed under weak convergence and in the special case of positive distributions several characterizations of laws in the range are given.
- Published
- 2016
- Full Text
- View/download PDF