On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes

DOI10.1016/J.SPA.2008.02.004MaRDI QIDQ1001850zbMATHOpenAlexFDO

Authors J. M. P. Albin, Mattias Sundén

Publication date 19 February 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2008.02.004

zbMATH Keywords

extreme value theoryexponential distributionEsscher transformsubexponential distributioninfinitely divisible distributionlong-tailed distributionCGMY processGH processGZ processsemi-heavy-tailed distributionLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Tauberian theorems (40E05) Laplace transform (44A10) Financial applications of other theories (91G80)

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• On a class of Lévy processes
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• On the supremum of an infinitely divisible process
• Processes of normal inverse Gaussian type
• Stochastic Volatility for Lévy Processes
• Subexponentiality and infinite divisibility
• Suprema and sojourn times of Lévy processes with exponential tails
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• The supremum of a process with stationary independent and symmetric increments
• Uniform saddlepoint approximations
• Weak limit results for the extremes of a class of shot noise processes
• 𝜉-radial processes and random Fourier series

Cited in

(31)

• Implied volatility of basket options at extreme strikes
• Properties of the random effect transformation
• Randomly stopped sums with exponential-type distributions
• On suprema of Lévy processes with light tails
• Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail
• On the class of distributions of subordinated Lévy processes and bases
• A note on product-convolution for generalized subexponential distributions
• Lévy process with substable increments via generalized convolution
• Finite time ruin probabilities for tempered stable insurance risk processes
• Subexponential asymptotics of hybrid fluid and ruin models
• Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
• Comparison of two components of a bivariate subordinator and study of the upper envelope of a Lévy process
• Precise option pricing by the COS method -- how to choose the truncation range
• Tail probabilities of subadditive functionals of Lévy processes.
• On the extreme flights of one-sided Lévy processes
• Heavy tails of a Lévy process and its maximum over a random time interval
• Functionals of infinitely divisible stochastic processes with exponential tails
• Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
• On a class of Lévy processes
• Semi-heavy tails
• Sample paths of a Lévy process leading to first passage over high levels in finite time
• Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process
• Asymptotical properties of distributions of isotropic Lévy processes
• On the Asymptotic Behaviour of Superexponential Lévy Processes
• Convolution equivalent Lévy processes and first passage times
• The maximum of randomly weighted sums with long tails in insurance and finance
• Remarks on the absolute maximum of a Lévy process
• Asymptotic properties of the sample paths of additive Lévy processes
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• Randomly stopped minima and maxima with exponential-type distributions
• Closure properties of \(O\)-exponential distributions

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