On moments of integral exponential functionals of additive processes
Abstract
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.
Origin : Files produced by the author(s)
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