Tail asymptotics for exponential functionals of Lévy processes
نویسندگان
چکیده
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.
منابع مشابه
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