On moments of integral exponential functionals of additive processes - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2018

On moments of integral exponential functionals of additive processes

Résumé

For real-valued additive process $(X_t)_{t\geq 0}$ a recursive equation is derived for the entire positive moments of functionals $$I_{s,t}= \int _s^t\exp(-X_u)du, $$ in case the Laplace exponent of $X_t$ exists for positive values of the parameter. From the equation emerges an easy-to-apply sufficient condition for the finiteness of the moments. As an application we study first hit processes of diffusions.
Fichier principal
Vignette du fichier
SPL_29_9.pdf (124.62 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

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

Identifiants

Citer

Paavo Salminen, Lioudmila Vostrikova. On moments of integral exponential functionals of additive processes. 2018. ⟨hal-01730629v3⟩
213 Consultations
642 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More