Functionals of infinitely divisible stochastic processes with exponential tails
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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.
Recommendations
- Tail probabilities of subadditive functionals of Lévy processes.
- On a class of Lévy processes
- Distributions of subadditive functionals of sample paths of infinitely divisible processes
- Tail asymptotics for exponential functionals of Lévy processes
- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
Cites work
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- Convolution tails, product tails and domains of attraction
- Distributions of subadditive functionals of sample paths of infinitely divisible processes
- Exponential moments of vector valued random series and triangular arrays
- Functions of probability measures
- scientific article; zbMATH DE number 4030594 (Why is no real title available?)
- scientific article; zbMATH DE number 3518027 (Why is no real title available?)
- scientific article; zbMATH DE number 4121212 (Why is no real title available?)
- On convolution tails
- On the supremum of an infinitely divisible process
- Some asymptotic results for transient random walks
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- The class of subexponential distributions
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Cited in
(32)- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
- On the supremum of an infinitely divisible process
- Suprema and sojourn times of Lévy processes with exponential tails
- Remarks on suprema of Lévy processes with light tailes
- Extremes of totally skewed \(\alpha \)-stable processes
- Tail probabilities of subadditive functionals of Lévy processes.
- Suprema of compound Poisson processes with light tails.
- Multiplicative functionals of Lévy processes
- Sample quantiles of heavy tailed stochastic processes
- Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
- Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction
- On distributions of exponential functionals of the processes with independent increments
- Tail probabilities of subadditive functionals on stable processes with continuous and discrete time
- On a class of Lévy processes
- Extremes of subexponential Lévy driven moving average processes
- Finite time ruin probabilities for tempered stable insurance risk processes
- Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
- A NOTE ON THE CLOSURE OF CONVOLUTION POWER MIXTURES (RANDOM SUMS) OF EXPONENTIAL DISTRIBUTIONS
- Convolution equivalent Lévy processes and first passage times
- Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
- Functional regular variation of Lévy-driven multivariate mixed moving average processes
- Maxima of Sums of Heavy-Tailed Random Variables
- Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
- $L^1$ Norm of Lévy Processes with Exponential Tails.
- On Exponential Functionals of Processes with Independent Increments
- Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure
- Extremes of regularly varying Lévy-driven mixed moving average processes
- Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
- Distributions of subadditive functionals of sample paths of infinitely divisible processes
- Heavy tails of a Lévy process and its maximum over a random time interval
- Extreme value theory for spatial random fields -- with application to a Lévy-driven field
- On suprema of Lévy processes with light tails
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