| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156776 | Stochastic Processes and their Applications | 2012 | 10 Pages |
Abstract
We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Lévy processes with rational Laplace exponent. This extends recent results by Cai and Kou [3] on the processes with hyper-exponential jumps.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
A. Kuznetsov,