Asymptotic results for exponential functionals of Levy processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:128

Article

Li, Zenghu¹  Xu, Wei¹ 

[1] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China

关键词: Levy process;    Exponential functional;    Laplace exponent;    Branching process;    Random environment;    Survival probability;   

DOI  :  10.1016/j.spa.2017.04.005

来源: Elsevier

【 摘 要 】

The asymptotic behavior of expectations of some exponential functionals of a Levy process is studied. The key point is the observation that the asymptotics only depend on the sample paths with slowly decreasing local infimum. We give not only the convergence rate but also the expression of the limiting coefficient. The latter is given in terms of some transformations of the Levy process based on its renewal function. As an application, we give an exact evaluation of the decay rate of the survival probability of a continuous-state branching process in random environment with stable branching mechanism. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

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