Tail asymptotics for exponential functionals of Lévy processes

K. Maulik; B. Zwart

doi:10.1016/j.spa.2005.09.002

Tail asymptotics for exponential functionals of Lévy processes

K. Maulik
, B. Zwart

Research output: Contribution to journal › Article › Academic › peer-review

95 Citations (Scopus)

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Abstract

Motivated by recent studies in financial mathematics and other areas, we investigate the exponential functional of a Lévy process X(t),t0. In particular, we investigate its tail asymptotics. We show that, depending on the right tail of X(1), the tail behavior of Z is exponential, Pareto, or extremely heavy-tailed.

Original language	English
Pages (from-to)	156-177
Journal	Stochastic Processes and their Applications
Volume	116
Issue number	2
DOIs	https://doi.org/10.1016/j.spa.2005.09.002
Publication status	Published - 2006

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10.1016/j.spa.2005.09.002

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title = "Tail asymptotics for exponential functionals of L{\'e}vy processes",

abstract = "Motivated by recent studies in financial mathematics and other areas, we investigate the exponential functional of a L{\'e}vy process X(t),t0. In particular, we investigate its tail asymptotics. We show that, depending on the right tail of X(1), the tail behavior of Z is exponential, Pareto, or extremely heavy-tailed.",

author = "K. Maulik and B. Zwart",

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doi = "10.1016/j.spa.2005.09.002",

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AU - Zwart, B.

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AB - Motivated by recent studies in financial mathematics and other areas, we investigate the exponential functional of a Lévy process X(t),t0. In particular, we investigate its tail asymptotics. We show that, depending on the right tail of X(1), the tail behavior of Z is exponential, Pareto, or extremely heavy-tailed.

U2 - 10.1016/j.spa.2005.09.002

DO - 10.1016/j.spa.2005.09.002

M3 - Article

SN - 0304-4149

VL - 116

SP - 156

EP - 177

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 2

ER -

Tail asymptotics for exponential functionals of Lévy processes

Abstract

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