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On The Distribution And Asymptotic Results For Exponential Functionals Of Lévy Processes (1997)
| Citations: | 105 - 11 self |
BibTeX
@MISC{Carmona97onthe,
author = {Philippe Carmona and Frédérique Petit and Marc Yor},
title = {On The Distribution And Asymptotic Results For Exponential Functionals Of Lévy Processes},
year = {1997}
}
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Abstract
The aim of this note is to study the distribution and the asymptotic behavior of the exponential functional A t := R t 0 e s ds, where ( s ; s 0) denotes a L'evy process. When A1 ! 1, we show that in most cases, the law of A1 is a solution of an integrodifferential equation ; moreover, this law is characterized by its integral moments. When the process is asymptotically ff-stable, we prove that t \Gamma1=ff log A t converges in law, as t !1, to the supremum of an ff-stable L'evy process ; in particular, if E [ 1 ] ? 0, then ff = 1 and (1=t) log A t converges almost surely to E [ 1 ]. Eventually, we use Girsanov's transform to give the explicit behavior of E \Theta (a +A t ()) \Gamma1 as t ! 1, where a is a constant, and deduce from this the rate of decay of the tail of the distribution of the maximum of a diffusion process in a random L'evy environment.
