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On moments of integral exponential functionals of additive processes

Author

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  • Salminen, Paavo
  • Vostrikova, Lioudmila

Abstract

For real-valued additive process (Xt)t≥0 a recursive equation is derived for the entire positive moments of functionals Is,t=∫stexp(−Xu)du,0≤s

Suggested Citation

  • Salminen, Paavo & Vostrikova, Lioudmila, 2019. "On moments of integral exponential functionals of additive processes," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 139-146.
    • Handle: RePEc:eee:stapro:v:146:y:2019:i:c:p:139-146
    DOI: 10.1016/j.spl.2018.11.011
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    References listed on IDEAS

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    1. Ilenia Epifani, 2003. "Exponential functionals and means of neutral-to-the-right priors," Biometrika, Biometrika Trust, vol. 90(4), pages 791-808, December.
    2. Lioudmila Vostrikova, 2020. "On Distributions Of Exponential Functionals Of The Processes With Independent Increments," Working Papers hal-01725776, HAL.
    3. P. Salminen & L. Vostrikova, 2016. "On exponential functionals of processes with independent increments," Papers 1610.08732, arXiv.org, revised Mar 2018.
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    Cited by:

    1. Boguslavskaya, Elena & Vostrikova, Lioudmila, 2020. "Revisiting integral functionals of geometric Brownian motion," Statistics & Probability Letters, Elsevier, vol. 165(C).

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