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- Publisher
- Springer Journals
- Copyright
- Copyright © 2012 by Springer Science+Business Media B.V.
- Subject
- Mathematics; Mathematics, general; Computer Science, general; Theoretical, Mathematical and Computational Physics; Statistical Physics, Dynamical Systems and Complexity; Mechanics
- ISSN
- 0167-8019
- eISSN
- 1572-9036
- DOI
- 10.1007/s10440-012-9718-y
- Publisher site
- See Article on Publisher Site
Abstract
We study the distribution and various properties of exponential functionals of hypergeometric Lévy processes. We derive an explicit formula for the Mellin transform of the exponential functional and give both convergent and asymptotic series expansions of its probability density function. As applications we present a new proof of some of the results on the density of the supremum of a stable process, which were recently obtained in Hubalek and Kuznetsov (Electron. Commun. Probab. 16:84–95, 2011) and Kuznetsov (Ann. Probab. 39(3):1027–1060, 2011). We also derive several new results related to (i) the entrance law of a stable process conditioned to stay positive, (ii) the entrance law of the excursion measure of a stable process reflected at its past infimum, (iii) the distribution of the lifetime of a stable process conditioned to hit zero continuously and (iv) the entrance law and the last passage time of the radial part of a multidimensional symmetric stable process.
Journal
Acta Applicandae Mathematicae – Springer Journals
Published: May 10, 2012