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Pré-Publication, Document De Travail Année : 2018

On moments of exponential functionals of additive processes

Paavo Salminen
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Résumé

Let X = (X t) t≥0 be a real-valued additive process, i.e., a process with independent increments. In this paper we study the exponential integral functionals of X, namely, the functionals of the form I s,t = t s exp(−X u)du, 0 ≤ s < t ≤ ∞. Our main interest is focused on the moments of I s,t of order α ≥ 0. In the case when the Laplace exponent of X t is explicitly known, we derive a recursive (in α) integral equation for the moments. This yields a multiple integral formula for the entire positive moments of I s,t. From these results emerges an easy-to-apply sufficient condition for the finiteness of all the entire moments of I ∞ := I 0,∞. The corresponding formulas for Lévy processes are also presented. As examples we discuss the finiteness of the moments of I ∞ when X is the first hit process associated with a diffusion. In particular, we discuss the exponential functionals related with Bessel processes and geometric Brownian motions.
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Dates et versions

hal-01730629 , version 1 (13-03-2018)
hal-01730629 , version 2 (29-03-2018)
hal-01730629 , version 3 (15-10-2018)

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Paavo Salminen, Lioudmila Vostrikova. On moments of exponential functionals of additive processes. 2018. ⟨hal-01730629v1⟩
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