Tail asymptotics for exponential functionals of Lévy processes

Krishanu Maulik and Bert Zwart

Stochastic Processes and their Applications, 2006, vol. 116, issue 2, 156-177

Abstract: Motivated by recent studies in financial mathematics and other areas, we investigate the exponential functional of a Lévy process X(t),t[greater-or-equal, slanted]0. In particular, we investigate its tail asymptotics. We show that, depending on the right tail of X(1), the tail behavior of Z is exponential, Pareto, or extremely heavy-tailed.

Keywords: Breiman's; theorem; Perpetuities; Subexponential; distributions; Mellin; transforms; Tauberian; theorems (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (19)

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