Distributional properties of exponential functionals of Levy processes

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 L\'evy processes. In the general setting using the theories of Markov processes and Schwartz distributions we prove that the law of this exponential functional satisfies an integral equation, which generalizes Proposition 2.1 in Carmona et al "On the distribution and asymptotic results for exponential functionals of Levy processes". In the special case when $\eta$ is a Brownian motion with drift we show that this integral equation leads to an important functional equation for the Mellin transform of $I(\xi,\eta)$, which proves to be a very useful tool for studying the distributional properties of this random variable. For general L\'evy process $\xi$ ($\eta$ being Brownian motion with drift) we prove that the exponential functional has a smooth density on $\r \setminus \{0\}$, but surprisingly the second derivative at zero may fail to exist. Under the additional assumption that $\xi$ has some positive exponential moments we establish an asymptotic behaviour of \p(I(\xi,\eta)>x) as $x\to +\infty$, and under similar assumptions on the negative exponential moments of $\xi$ we obtain a precise asympotic expansion of the density of $I(\xi,\eta)$ as $x\to 0$. Under further assumptions on the L\'evy process $\xi$ one is able to prove much stronger results about the density of the exponential functional and we illustrate some of the ideas and techniques for the case when $\xi$ has hyper-exponential jumps.Comment: In this version we added a remark after Theorem 1 about extra conditions required for validity of equation (2.3

Switching to nonhyperbolic cycles from codimension two bifurcations of equilibria of delay differential equations

In this paper we perform the parameter-dependent center manifold reduction near the generalized Hopf (Bautin), fold-Hopf, Hopf-Hopf and transcritical-Hopf bifurcations in delay differential equations (DDEs). This allows us to initialize the continuation of codimension one equilibria and cycle bifurcations emanating from these codimension two bifurcation points. The normal form coefficients are derived in the functional analytic perturbation framework for dual semigroups (sun-star calculus) using a normalization technique based on the Fredholm alternative. The obtained expressions give explicit formulas which have been implemented in the freely available numerical software package DDE-BifTool. While our theoretical results are proven to apply more generally, the software implementation and examples focus on DDEs with finitely many discrete delays. Together with the continuation capabilities of DDE-BifTool, this provides a powerful tool to study the dynamics near equilibria of such DDEs. The effectiveness is demonstrated on various models