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On The Distribution And Asymptotic Results For Exponential Functionals Of Lévy Processes

By Philippe Carmona, Frédérique Petit and Marc Yor

Abstract

The aim of this note is to study the distribution and the asymptotic behavior of the exponential functional A t := R t 0 e s ds, where ( s ; s 0) denotes a L'evy process. When A1 ! 1, we show that in most cases, the law of A1 is a solution of an integrodifferential equation ; moreover, this law is characterized by its integral moments. When the process is asymptotically ff-stable, we prove that t \Gamma1=ff log A t converges in law, as t !1, to the supremum of an ff-stable L'evy process ; in particular, if E [ 1 ] ? 0, then ff = 1 and (1=t) log A t converges almost surely to E [ 1 ]. Eventually, we use Girsanov's transform to give the explicit behavior of E \Theta (a +A t ()) \Gamma1 as t ! 1, where a is a constant, and deduce from this the rate of decay of the tail of the distribution of the maximum of a diffusion process in a random L'evy environment

Year: 1997
OAI identifier: oai:CiteSeerX.psu:10.1.1.32.2676
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