On the distribution of exponential functionals for Lévy processes with jumps of rational transform
We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Lévy processes with rational Laplace exponent. This extends recent results by Cai and Kou  on the processes with hyper-exponential jumps.
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Volume (Year): 122 (2012)
Issue (Month): 2 ()
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- Chaumont, L. & Kyprianou, A.E. & Pardo, J.C., 2009. "Some explicit identities associated with positive self-similar Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 980-1000, March.
- Maulik, Krishanu & Zwart, Bert, 2006. "Tail asymptotics for exponential functionals of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 156-177, February.
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