Implicit renewal theory for exponential functionals of Lévy processes

Jonas Arista and Víctor Rivero

Stochastic Processes and their Applications, 2023, vol. 163, issue C, 262-287

Abstract: We establish a new integral equation for the probability density of the exponential functional of a Lévy process and provide a three-term (Wiener–Hopf type) factorisation of its law. We explain how these results complement the techniques used in the study of exponential functionals and, in some cases, provide quick proofs of known results and derive new ones. We explain how the factors appearing in the three-term factorisation determine the local and asymptotic behaviour of the law of the exponential functional. We describe the behaviour of the tail distribution at infinity and of the distribution at zero under some mild assumptions.

Keywords: Lévy processes; Exponential functionals; Factorisations in law; Integral equations; Tail asymptotics (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:163:y:2023:i:c:p:262-287

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DOI: 10.1016/j.spa.2023.06.004

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