On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
DOI10.1016/J.SPA.2008.02.004zbMATH Open1156.60029OpenAlexW2079758198MaRDI QIDQ1001850FDOQ1001850
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
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extreme value theoryexponential distributionEsscher transformsubexponential distributioninfinitely divisible distributionlong-tailed distributionCGMY processGH processGZ processsemi-heavy-tailed distributionLévy process
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)
Cites Work
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Cited In (28)
- 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
- Heavy tails of a Lévy process and its maximum over a random time interval
- Tail probabilities of subadditive functionals of Lévy processes.
- On the extreme flights of one-sided Lévy processes
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- Properties of the random effect transformation
- On a class of Lévy processes
- Sample paths of a Lévy process leading to first passage over high levels in finite time
- Convolution equivalent Lévy processes and first passage times
- On suprema of Lévy processes with light tails
- Closure properties of \(O\)-exponential distributions
- Semi-heavy tails
- Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models
- On the class of distributions of subordinated Lévy processes and bases
- On the Asymptotic Behaviour of Superexponential Lévy Processes
- Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail
- Finite time ruin probabilities for tempered stable insurance risk processes
- A note on product-convolution for generalized subexponential distributions
- Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process
- Remarks on the absolute maximum of a Lévy process
- The maximum of randomly weighted sums with long tails in insurance and finance
- Precise option pricing by the COS method -- how to choose the truncation range
- Randomly stopped sums with exponential-type distributions
- Randomly stopped minima and maxima with exponential-type distributions
- Lévy process with substable increments via generalized convolution
- Subexponential asymptotics of hybrid fluid and ruin models
- Implied Volatility of Basket Options at Extreme Strikes
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