Jean Bertoin, Marc Yor
Published 2005-11-10Version 1
This text surveys properties and applications of the exponential functional $\int_0^t\exp(-\xi_s)ds$ of real-valued L\'evy processes $\xi=(\xi_t,t\geq0)$.
Comments: Published at http://dx.doi.org/10.1214/154957805100000122 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Journal: Probability Surveys 2005, Vol. 2, 191-212
Implicit renewal theory for exponential functionals of Lévy processes
Tail asymptotics for exponential functionals of Levy processes: the convolution equivalent case
A Wiener-Hopf Type Factorization for the Exponential Functional of Levy Processes
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