کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7550450 | 1489928 | 2018 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymptotic results for exponential functionals of Lévy processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The asymptotic behavior of expectations of some exponential functionals of a Lévy 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 Lévy 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 1, January 2018, Pages 108-131
Journal: Stochastic Processes and their Applications - Volume 128, Issue 1, January 2018, Pages 108-131
نویسندگان
Zenghu Li, Wei Xu,