Tail asymptotics for exponential functionals of Lévy processes

Motivated by recent studies in financial mathematics and other areas, we investigate the exponential functional of a Lévy process X(t),t[greater-or-equal, slanted]0. 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.

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Year of publication:	2006
Authors:	Maulik, Krishanu ; Zwart, Bert
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 116.2006, 2, p. 156-177
Publisher:	Elsevier
Keywords:	Breiman's theorem Perpetuities Subexponential distributions Mellin transforms Tauberian theorems

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875370