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On the distribution of exponential functionals for Lévy processes with jumps of rational transform


  • Kuznetsov, A.


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 [3] on the processes with hyper-exponential jumps.

Suggested Citation

  • Kuznetsov, A., 2012. "On the distribution of exponential functionals for Lévy processes with jumps of rational transform," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 654-663.
  • Handle: RePEc:eee:spapps:v:122:y:2012:i:2:p:654-663
    DOI: 10.1016/

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    References listed on IDEAS

    1. 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.
    2. 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.
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    Cited by:

    1. D. Hackmann & A. Kuznetsov, 2014. "Asian options and meromorphic Lévy processes," Finance and Stochastics, Springer, vol. 18(4), pages 825-844, October.
    2. Runhuan Feng & Alexey Kuznetsov & Fenghao Yang, 2016. "Exponential functionals of Levy processes and variable annuity guaranteed benefits," Papers 1610.00577,


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