Bertoin, Jean; Yor, Marc Exponential functionals of Lévy processes. (English) Zbl 1189.60096 Probab. Surv. 2, 191-212 (2005). Summary: This text surveys properties and applications of the exponential functional \(\int_0 t \exp( - \xi_s)ds\) of real-valued Lévy processes \(\xi =(\xi_t,t\geq 0)\). Cited in 1 ReviewCited in 99 Documents 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 Keywords:Lévy process; exponential functional; subordinator; self-similar Markov process; moment problem × Cite Format Result Cite Review PDF Full Text: DOI arXiv EuDML