Tail probabilities of subadditive functionals on stable processes with continuous and discrete time (Q2485771): Difference between revisions

Let \(X\) be a symmetric \(\alpha\)-stable process (with continuous or discrete time) given in the form \(X(t)=\int h(t,v)M(dv)\) with some \(S\alpha S\) measure \(M\). Let \(\varphi\) be a subadditive functional, and \(\mu\) be non-random continuous and non-decreasing drift. Under certain conditions, the tail probability \(\mathbf{P}(\varphi(X-\mu)>u)\) is determined as \(u\to\infty\). Particular examples of the overall supremum, the last hitting time of zero and the sojourn time are considered for self-similar processes, Lévy motions and \(S\alpha S\) Ornstein-Uhlenbeck process in continuous case. In discrete case, the overall supremum is studied in detail.