Add to ORKGAbstract: Motivated by recent studies in financial mathematics and other areas, we investigate the exponential functional Z = 0 e−X(t)dt of a Lévy process X(t), t ≥ 0. In particular, we investigate its tail asymptotics. It is shown that, depending on the right tail of X(1), the tail behavior of Z is exponential, Pareto, or extremely heavy-tailed
A recent result of Bertoin, Doney and Maller (Ann. Prob., 2007) gives an integral condition to chara...
For a given Levy process X = ( X t ) t 2 R + and for xed s 2 R + [f1g and t 2 R + we analyse the fut...
Abstract We study the tail behavior of the distribution of certain subadditive functionals acting o...
Motivated by recent studies in financial mathematics and other areas, we investi-gate the exponentia...
AbstractMotivated by recent studies in financial mathematics and other areas, we investigate the exp...
12 pagesWe consider the exponential functional $A_{\infty}=\int_0^{\infty} e^{\xi_s} ds$ associated ...
AbstractWe investigate the tail behavior of the distributions of subadditive functionals of the samp...
We study tail probabilities of suprema of L\'evy processes with subexponential or exponential margin...
We study tail probabilities of suprema of L\\u27evy processes with subexponential or exponential mar...
Abstract. For a Lévy process ξ = (ξt)t≥0 drifting to −∞, we define the so-called exponential functi...
AbstractWe study tail probabilities of the suprema of Lévy processes with subexponential or exponent...
Abstract Let {Xt, t 0} be a Lévy process with Lévy measure ν on (−∞,∞), and let τ be a nonnegativ...
We provide exact large-time equivalents of the density and upper tail distributions of the exponenti...
Revised version. To appear in ALEA Latin American Journal of Probability and Mathematical Statistics...
AbstractWe study the tail behaviour of the supremum of sample paths of Lévy process with exponential...
A recent result of Bertoin, Doney and Maller (Ann. Prob., 2007) gives an integral condition to chara...
For a given Levy process X = ( X t ) t 2 R + and for xed s 2 R + [f1g and t 2 R + we analyse the fut...
Abstract We study the tail behavior of the distribution of certain subadditive functionals acting o...
Motivated by recent studies in financial mathematics and other areas, we investi-gate the exponentia...
AbstractMotivated by recent studies in financial mathematics and other areas, we investigate the exp...
12 pagesWe consider the exponential functional $A_{\infty}=\int_0^{\infty} e^{\xi_s} ds$ associated ...
AbstractWe investigate the tail behavior of the distributions of subadditive functionals of the samp...
We study tail probabilities of suprema of L\'evy processes with subexponential or exponential margin...
We study tail probabilities of suprema of L\\u27evy processes with subexponential or exponential mar...
Abstract. For a Lévy process ξ = (ξt)t≥0 drifting to −∞, we define the so-called exponential functi...
AbstractWe study tail probabilities of the suprema of Lévy processes with subexponential or exponent...
Abstract Let {Xt, t 0} be a Lévy process with Lévy measure ν on (−∞,∞), and let τ be a nonnegativ...
We provide exact large-time equivalents of the density and upper tail distributions of the exponenti...
Revised version. To appear in ALEA Latin American Journal of Probability and Mathematical Statistics...
AbstractWe study the tail behaviour of the supremum of sample paths of Lévy process with exponential...
A recent result of Bertoin, Doney and Maller (Ann. Prob., 2007) gives an integral condition to chara...
For a given Levy process X = ( X t ) t 2 R + and for xed s 2 R + [f1g and t 2 R + we analyse the fut...
Abstract We study the tail behavior of the distribution of certain subadditive functionals acting o...