Exponential functionals of Levy processes

The distribution of the terminal value A∞ of the exponential functional $$ {A_t}(\xi ) = \smallint _0^t{e^{{\xi _s}}}ds $$ of a Levy process (ξ t ) t≥0 plays an important role in Mathematical Physics and Mathematical Finance. We show how this distribution can be computed by means of Lamperti’s transformation and generalized Ornstein-Uhlenbeck processes.

• Publication year

  2005

• Venue

  Probability Surveys

• Publication date

  2005-11-01

• Fields of study

  Mathematics

• Identifiers
  DOI 10.1007/978-1-4612-0197-7_2arXiv math/0511265
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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