Moments of an exponential functional of random walks and permutations with given descent sets
classification
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math.PR
keywords
descentpermutationsrandomcoefficientexponentialfunctionalgivenmoments
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The exponential functional of simple, symmetric random walks with negative drift is an infinite polynomial $Y = 1 + \xi_1 + \xi_1 \xi_2 + \xi_1 \xi_2 \xi_3 + ...$ of independent and identically distributed non-negative random variables. It has moments that are rational functions of the variables $\mu_k = \ev(\xi^k) < 1$ with universal coefficients. It turns out that such a coefficient is equal to the number of permutations with descent set defined by the multiindex of the coefficient. A recursion enumerates all numbers of permutations with given descent sets in the form of a Pascal-type triangle.
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