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Exponential functionals of Lévy processes. (English) Zbl 1189.60096

Summary: This text surveys properties and applications of the exponential functional \(\int_0 t \exp( - \xi_s)ds\) of real-valued Lévy processes \(\xi =(\xi_t,t\geq 0)\).

MSC:

60G51 Processes with independent increments; Lévy processes
60J55 Local time and additive functionals
60G18 Self-similar stochastic processes
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
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