Exponential functionals of Lévy processes

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Abstract

This text surveys properties and applications of the exponential functional ∫t0 exp(- ξs)ds of real-valued Lévy processes ξ = (ξt, t ≥ 0).

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APA

Bertoin, J., & Yor, M. (2005). Exponential functionals of Lévy processes. Probability Surveys, 2(1), 191–212. https://doi.org/10.1214/154957805100000122

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