Exponential functionals of Le19 evy processes
نویسندگان
چکیده
Throughout this work, we shall consider a real-valued Lévy process ξ = (ξt, t ≥ 0), refering to [5, 60] for background. This means that the process ξ starts from ξ0 = 0, has right-continuous paths with left-limits, and if (Ft)t≥0 denotes the natural filtration generated by ξ, then the increment ξt+s − ξt is independent of Ft and has the same law as ξs for every s, t ≥ 0. It is well-known (see e.g. Sato [60]) that the distribution of ξ is determined by its one-dimensional marginals, and thus by its characteristic function which has the form
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