Corpus ID: 233210047

Asymptotic of densities of exponential functionals of subordinators

@inproceedings{Minchev2021AsymptoticOD,
  title={Asymptotic of densities of exponential functionals of subordinators},
  author={M. Minchev and M. Savov},
  year={2021}
}
In this paper we derive non-classical Tauberian asymptotic at infinity for the tail, the density and the derivatives thereof of a large class of exponential functionals of subordinators. More precisely, we consider the case when the Lévy measure of the subordinator satisfies the wellknown and mild condition of positive increase. This is achieved via a convoluted application of the saddle point method to the Mellin transform of these exponential functionals which is given in terms of Bernstein… Expand
Precise asymptotics for the density and the upper tail of exponential functionals of subordinators
We provide exact large-time equivalents of the density and upper tail distributions of the exponential functional of a subordinator in terms of its Laplace exponents. This improves previous resultsExpand

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