Functionals of infinitely divisible stochastic processes with exponential tails (Q1890697): Difference between revisions
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Revision as of 18:10, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Functionals of infinitely divisible stochastic processes with exponential tails |
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Functionals of infinitely divisible stochastic processes with exponential tails (English)
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23 May 1995
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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.
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infinitely divisible distributions
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exponential probability distributions
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subadditive functionals
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Lévy processes
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Lévy measures
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