On moments of integral exponential functionals of additive processes

Paavo Salminen and Lioudmila Vostrikova

Statistics & Probability Letters, 2019, vol. 146, issue C, 139-146

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≤sKeywords: Independent increments; Lévy process; Subordinator; Bessel process; Geometric Brownian motion (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.11.011

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