Exponential functionals of conditioned Lévy processes and local time of a diffusion in a Lévy environment

Datum

09.02.2017

Zeit

14:15 - 15:15

Sprecher

Grégoire Véchambre

Zugehörigkeit

Orleans

Serie

TUD Mathematik AG Analysis & Stochastik

Sprache

en

Hauptthema

Mathematik

Andere Themen

Mathematik

Host

Prof. Dr. A. Behme

Beschreibung

Exponential functionals of Lévy processes have been widely studied over the past years and have multiple applications, among which the study of diffusions in random environment, the study of self-similar Markov processes or mathematical finance. We are interested in functionals of spectrally one-sided Lévy processes conditioned to stay positive and establish some of their properties : finiteness, distribution tails, self-decomposability, smoothness of the density. We then apply these properties to the study of the asymptotic behavior of the local time of a diffusion in a spectrally negative Lévy environment.

Links

• AG Analysis & Stochastik

Letztmalig verändert: 16.01.2017, 11:05:45