Asymptotics for densities of exponential functionals of subordinators

Author:

Minchev Martin1,Savov Mladen1

Affiliation:

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

Publisher

Bernoulli Society for Mathematical Statistics and Probability

Subject

Statistics and Probability

Reference44 articles.

1. Bingham, N.H., Goldie, C.M. and Teugels, J.L. (1987). Regular Variation. Encyclopedia of Mathematics and Its Applications 27. Cambridge: Cambridge Univ. Press. 10.1017/CBO9780511721434

2. Alili, L., Jedidi, W. and Rivero, V. (2014). On exponential functionals, harmonic potential measures and undershoots of subordinators. ALEA Lat. Am. J. Probab. Math. Stat. 11 711–735.

3. Balkema, A.A., Klüppelberg, C. and Stadtmüller, U. (1995). Tauberian results for densities with Gaussian tails. J. Lond. Math. Soc. (2) 51 383–400. 10.1112/jlms/51.2.383

4. 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

5. Behme, A., Lindner, A. and Maller, R. (2011). Stationary solutions of the stochastic differential equation dVt=VtdUt+dLt with Lévy noise. Stochastic Process. Appl. 121 91–108. 10.1016/j.spa.2010.09.003

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