On exponential functionals for processes with independent increments

D4 Publicerad utvecklings- eller forskningsrapport eller studie


Interna författare/redaktörer


Publikationens författare: Paavo Salminen, Ljudmila Vostrikova
Förläggare: ArXiv.org
Publiceringsår: 2016
Artikelns första sida, sidnummer: 1
Artikelns sista sida, sidnummer: 27


Abstrakt

In this paper we study exponential integral functionals of semimartingales having independent increment. When the semi-martingale have moreover absolutely continuous characteristics, we derive necessary and sufficient conditions for the existence of the Laplace exponent of the functional and also the sufficient conditions of finiteness of its Mellin transform. We give a recurrent integral equations for this Mellin transform and apply these recurrent formulas to calculate the moments.

Senast uppdaterad 2020-22-01 vid 03:08