On exponential functionals of Levy processes

Anita Behme; Alexander Lindner

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arXiv · 1301.3272

On exponential functionals of Levy processes

Anita Behme·Alexander Lindner

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Abstract

Exponential functionals of Lévy processes appear as stationary distributions of generalized Ornstein-Uhlenbeck (GOU) processes. In this paper we obtain the infinitesimal generator of the GOU process and show that it is a Feller process. Further we use these results to investigate properties of the mapping Φ, which maps two independent Lévy processes to their corresponding exponential functional, where one of the processes is assumed to be fixed. We show that in many cases this mapping is injective and give the inverse mapping in terms of (Lévy) characteristics. Also, continuity of Φis treated and some results on its range are obtained.

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BibTeX RIS

Anita Behme, Alexander Lindner. 2013-06-27. On exponential functionals of Levy processes. https://arxiv.org/abs/1301.3272

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