Functionals of infinitely divisible stochastic processes with exponential tails (Q1890697)
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scientific article; zbMATH DE number 757528
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| English | Functionals of infinitely divisible stochastic processes with exponential tails |
scientific article; zbMATH DE number 757528 |
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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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0.8344026803970337
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0.83424973487854
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0.8331118822097778
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0.8238829970359802
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0.8195501565933228
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