On the distribution of exponential functionals for Levy processes with jumps of rational transform
classification
🧮 math.PR
keywords
processesdistributionexponentialjumpslevyrationaltransformasian
read the original abstract
We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou on the processes with hyper-exponential jumps [N. Cai and S. Kou "Prising Asian options under a general jump diffusion model", (2010)].
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.