Extended factorizations of exponential functionals of Lévy processes

Abstract

Pardo, Patie, and Savov derived , under mild conditions, a Wiener - Hopf type factorization for the exponential functional of proper L evy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by considering the exponential functional for killed Le vy processes. As a by-product, we derive some interesting fine distributional properties enjoyed by a large class of this random variable, such as the absolute continuity of its distribution and the smoothness, boundedness or complete monotonicity of its density. This type of results is then used to derive similar properties for the law of maxima and first passage time of some stable Le vy processes. Thus, for example, we show that for any stable process with $\rho\in(0,\frac{1}{\alpha}-1]$ , where $\rho\in[0,1]$ is the positivity parameter and $\alpha$ is the stable index, then the first passage time has a bounded and non-increasing density on $\mathbb{R}_+$ . We also generate many instances of integral or power series representations for the law of the exponential functional of Le vy processes with one or two-sided jumps. The proof of our main results requires different devices from the one developed by Pardo, Patie, Savov . It relies in particular on a generalization of a transform recently introduced by Chazal et al together with some extensions to killed Le vy process of Wiener - Hopf techniques. The factorizations developed here also allow for further applications which we only indicate here also allow for further applications which we only indicate here.