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Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes

Patie Pierre — 2009

Annales de l'I.H.P. Probabilités et statistiques

We first characterize the increasing eigenfunctions associated to the following family of integro-differential operators, for any , >0, ≥0 and a smooth function on + , 𝐋 ( γ ) f ( x ) = x - α ( σ 2 x 2 f ' ' ( x ) + ( σ γ + b ) x f ' ( x ) + 0 f e - r x - f ( x ) e - r γ + x f ' ( x ) r 𝕀 { r 1 } ν ( d r ) ) , ( 0 . 1 ) where the coefficients b ,≥0 and the measure , which satisfies the integrability condition (1∧ )(d)<+∞, are uniquely determined by the distribution of a spectrally negative, infinitely divisible random variable, with characteristic exponent . is known to...

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