Functionals of infinitely divisible stochastic processes with exponential tails (Q1890697): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: reviewed by (P1447): Item:Q180455 |
||
| Property / reviewed by | |||
| Property / reviewed by: Zbigniew J. Jurek / rank | |||
Revision as of 12:18, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Functionals of infinitely divisible stochastic processes with exponential tails |
scientific article |
Statements
Functionals of infinitely divisible stochastic processes with exponential tails (English)
0 references
23 May 1995
0 references
The class of Lévy processes (i.e., processes with stationary and independent increments) whose Lévy measures have exponentially decreasing tails are studied. It is shown that subadditive functionals (i.e., \(\varphi (x_ 1 + x_ 2) \leq \varphi (x_ 1) + \varphi (x_ 2) )\) of paths of those processes have tails of the same order as the tails of corresponding Lévy measures. In particular, maximum of Lévy processes is studied.
0 references
infinitely divisible distributions
0 references
exponential probability distributions
0 references
subadditive functionals
0 references
Lévy processes
0 references
Lévy measures
0 references
