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 Probability Surveys > Vol. 2 (2005) open journal systems 

Exponential functionals of Lévy processes

Jean Bertoin, Université Paris VI
Marc Yor, Université Paris VI

This text surveys properties and applications of the exponential functional $int_{0}^{t}exp(-xi_s)ds$ of real-valued Lévy processes $xi=(xi_t, tgeq0)$.

AMS 2000 subject classifications: Primary 60 G 51, 60 J 55; secondary 60 G 18, 44 A 60.

Keywords: Lévy process, exponential functional, subordinator, self-similar Markov process, moment problem.

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Bertoin, Jean, Yor, Marc, Exponential functionals of Lévy processes, Probability Surveys, 2, (2005), 191-212 (electronic).


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