Moments of exponential functionals of Lévy processes on a deterministic horizon – identities and explicit expressions-Reference-Cited by-同舟云学术

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Moments of exponential functionals of Lévy processes on a deterministic horizon – identities and explicit expressions

Published:2024-11-01 Issue:4 Volume:30 Page:
ISSN:1350-7265
Container-title:Bernoulli
language:
Short-container-title:Bernoulli

Author:

Palmowski Zbigniew¹,Sariev Hristo²,Savov Mladen³

Affiliation:

1. Faculty of Pure and Applied Mathematics, Wroclaw University of Science and Technology, Wyb. Wyspiańskiego 27, 50-370 Wroclaw, Poland

2. Institute of Mathematics and Informatics, Bulgarian Academy of Sciences, Georgi Bonchev str., bl.8, Sofia 1113, Bulgaria

3. Faculty of Mathematics and Informatics, Sofia University “St. Kliment Ohridski”, 5 James Bourchier blvd., Sofia 1164, Bulgaria

Publisher

Bernoulli Society for Mathematical Statistics and Probability

Reference29 articles.

1. Barker, A. and Savov, M. (2021). Bivariate Bernstein-gamma functions and moments of exponential functionals of subordinators. Stochastic Process. Appl. 131 454–497. 10.1016/j.spa.2020.09.017

2. Bertoin, J. and Yor, M. (2005). Exponential functionals of Lévy processes. Probab. Surv. 2 191–212. 10.1214/154957805100000122

3. Hackmann, D. and Kuznetsov, A. (2014). Asian options and meromorphic Lévy processes. Finance Stoch. 18 825–844. 10.1007/s00780-014-0237-8

4. Hirsch, F. and Yor, M. (2013). On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator. Bernoulli 19 1350–1377. 10.3150/12-BEJSP01

5. Maulik, K. and Zwart, B. (2006). Tail asymptotics for exponential functionals of Lévy processes. Stochastic Process. Appl. 116 156–177. 10.1016/j.spa.2005.09.002

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