On the range of exponential functionals of L\'evy processes

Abstract

We characterize the support of the law of the exponential functional $\int_0^\infty e^{-\xi_{s-}} \, d\eta_s$ of two one-dimensional independent L\'evy processes $\xi$ and $\eta$. Further, we study the range of the mapping $\Phi_\xi$ for a fixed L\'evy process $\xi$, which maps the law of $\eta_1$ to the law of the corresponding exponential functional $\int_0^\infty e^{-\xi_{s-}} \, d\eta_s$. It is shown that the range of this mapping is closed under weak convergence and in the special case of positive distributions several characterizations of laws in the range are given.