On Exponential Functionals of Lévy Processes

By Anita Behme, A. Lindner. 2013

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Exponential functionals of Lévy processes appear as stationary distributions of generalized Ornstein–Uhlenbeck (GOU) processes. In this paper we obtain the infinitesimal generator of the GOU process and show that it is a Feller process. Further, we use these results to investigate properties of the mapping $$\Phi $$Φ, which maps two independent Lévy processes to their corresponding exponential functional, where one of the processes is assumed to be fixed. We show that in many cases this mapping is injective, and give the inverse mapping in terms of (Lévy) characteristics. Also, continuity of $$\Phi $$Φ is treated, and some results on its range are obtained.

Subfields: Applied Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/ac4767094eeb2bb7d3ae25e97c6a21389583d9bd