Remarks on suprema of Lévy processes with light tailes (Q1284585): Difference between revisions

The authors study compound Poisson processes \(X(t)\), \(t\geq 0\), with stationary increments and with jump sizes having light right tail and finite variance. If the jump size distribution is centered, it is shown that \[ P\Bigl(\sup_{0\leq t\leq 1} X(t)>x\Bigr)\sim P(X(1)> x) \quad\text{as }x\to \infty. \tag \(*\) \] If \(X(t)\) is provided with a drift \(bt\), then the same holds if \(b> 0\). If \(b< 0\), then \((*)\) holds if the right hand side is substituted by \(P(X(\Gamma_T)> x)\). Here \(\Gamma_T\) denotes the last jumping time before \(t= 1\) of the underlying Poisson process.