On moments of integral exponential functionals of additive processes.

Lioudmila Vostrikova; Paavo Salminen

On moments of integral exponential functionals of additive processes.

Lioudmila Vostrikova
, Paavo Salminen

Research output: Contribution to journal › Article › Scientific › peer-review

6 Citations (Scopus)

36 Downloads (Pure)

Abstract

For real-valued additive process $(X_t)_{tgeq 0}$ % i.e., a process with independent increments a recursive equation is derived for the entire positive moments of functionals

I_{s,t}= int _s^texp(-X_u)du, quad 0leq s

in case the Laplace exponent of $X_t$ exists for positive values of the parameter.From the equation emerges an easy-to-apply sufficient condition for the finiteness of the moments. As an application we study first hit processes of diffusions.

Original language	Undefined/Unknown
Pages (from-to)	139–146
Journal	Statistics and Probability Letters
Volume	146
Publication status	Published - 2019
MoE publication type	A1 Journal article-refereed

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1803.04859.pdf

Cite this

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title = "On moments of integral exponential functionals of additive processes.",

abstract = "For real-valued additive process \$(X\_t)\_\{tgeq 0\}\$ \% i.e., a process with independent increments a recursive equation is derived for the entire positive moments of functionalsI\_\{s,t\}= int \_s\textasciicircum{}texp(-X\_u)du, quad 0leq sin case the Laplace exponent of \$X\_t\$ exists for positive values of the parameter.From the equation emerges an easy-to-apply sufficient condition for the finiteness of the moments. As an application we study first hit processes of diffusions.",

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AU - Salminen, Paavo

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N2 - For real-valued additive process $(X_t)_{tgeq 0}$ % i.e., a process with independent increments a recursive equation is derived for the entire positive moments of functionalsI_{s,t}= int _s^texp(-X_u)du, quad 0leq sin case the Laplace exponent of $X_t$ exists for positive values of the parameter.From the equation emerges an easy-to-apply sufficient condition for the finiteness of the moments. As an application we study first hit processes of diffusions.

AB - For real-valued additive process $(X_t)_{tgeq 0}$ % i.e., a process with independent increments a recursive equation is derived for the entire positive moments of functionalsI_{s,t}= int _s^texp(-X_u)du, quad 0leq sin case the Laplace exponent of $X_t$ exists for positive values of the parameter.From the equation emerges an easy-to-apply sufficient condition for the finiteness of the moments. As an application we study first hit processes of diffusions.

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SN - 0167-7152

VL - 146

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EP - 146

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

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