For a Lévy process ξ=(ξt) t⩾ 0 drifting to−∞, we define the so‐called exponential functional
as follows: I ξ=∫ 0∞ e ξ tdt. Under mild conditions on ξ, we show that the following …

In 18, under mild conditions, a Wiener-Hopf type factorization is derived for the exponential
functional of proper Lévy processes. In this paper, we extend this factorization by relaxing a …

We study the Wiener–Hopf factorization for Lévy processes with bounded positive jumps
and arbitrary negative jumps. We prove that the positive Wiener–Hopf factor can be …

We show that the positive Wiener-Hopf factor of a Lévy process with positive jumps having a
rational Fourier transform is a rational function itself, expressed in terms of the parameters of …

We study the distribution of the exponential functional $ I (\xi,\eta)=\int_0^{\infty}\exp (\xi_ {t-})
d\eta_t $, where $\xi $ and $\eta $ are independent Lévy processes. In the general setting …

We give three applications of the Pecherskii-Rogozin-Spitzer identity for Lévy processes.
First, we find the joint distribution of the supremum and the epoch at which it is 'attained'if a …

In this paper, we try to give a unified framework with which we can interpret the results of our
two previous papers [5, 6]. We focus attention on the distributional properties of the terminal …

In this paper we study the Wiener-Hopf factorization for a class of Lévy processes with
double-sided jumps, characterized by the fact that the density of the Lévy measure is given …

On the distribution of exponential functionals for Lévy processes with jumps of rational
transform - ScienceDirect Skip to main contentSkip to article Elsevier logo Journals & Books …

In this paper, we study the existence of the density associated with the exponential
functional of the Lévy process ξ, I_e_q:=0^e_qe^s\,ds, where e_q is an independent …