On the distribution of exponential functionals for Lévy processes with jumps of rational transform

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Abstract

We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Lévy processes with rational Laplace exponent. This extends recent results by Cai and Kou [3] on the processes with hyper-exponential jumps. © 2011 Elsevier B.V. All rights reserved.

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Kuznetsov, A. (2012). On the distribution of exponential functionals for Lévy processes with jumps of rational transform. Stochastic Processes and Their Applications, 122(2), 654–663. https://doi.org/10.1016/j.spa.2011.09.007

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