On moments of integral exponential functionals of additive processes

Publication date: Available online 16 November 2018Source: Statistics & Probability LettersAuthor(s): Paavo Salminen, Lioudmila VostrikovaAbstractFor real-valued additive process (Xt)t≥0 a recursive equation is derived for the entire positive moments of functionals Is,t=∫stexp(−Xu)du,0≤s<t≤∞,in case the Laplace exponent of Xt exists for positive values of the parameter. From the equation emerges an easy-to-apply sufficient condition for the finiteness of the moments. As an application we study first hit processes of diffusions.
Source: Statistics and Probability Letters - Category: Statistics Source Type: research
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