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 Exponential functionals of Lévy processes
 Jean Bertoin, Université Paris VIMarc Yor, Université Paris VI

 Abstract This text surveys properties and applications of the exponential functional $$\int_{0}^{t}\exp(-\xi_s)ds$$ of real-valued L\'evy processes $$\xi=(\xi_t, t\geq0)$$.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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Probability Surveys. ISSN: 1549-5787