Maulik, Krishanu; Zwart, Bert - In: Stochastic Processes and their Applications 116 (2006) 2, pp. 156-177
Motivated by recent studies in financial mathematics and other areas, we investigate the exponential functional of a Lévy process X(t),t[greater-or-equal, slanted]0. In particular, we investigate its tail asymptotics. We show that, depending on the right tail of X(1), the tail behavior of Z is...