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</script> 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, tgeq0)).">
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 Probability Surveys > Vol. 2 (2005) open journal systems 


Exponential functionals of Lévy processes

Jean Bertoin, Université Paris VI
Marc Yor, Université Paris VI


Abstract
This text surveys properties and applications of the exponential functional t0exp(ξs)ds of real-valued L\'evy processes ξ=(ξt,t0).

AMS 2000 subject classifications: Primary 60 G 51, 60 J 55; secondary 60 G 18, 44 A 60.

Keywords: Lévy process, exponential functional, subordinator, self-similar Markov process, moment problem.

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Bertoin, Jean, Yor, Marc, Exponential functionals of Lévy processes, Probability Surveys, 2, (2005), 191-212 (electronic).

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