Suprema and sojourn times of Lévy processes with exponential tails

DOI10.1016/S0304-4149(97)00031-8zbMATH Open0915.60050MaRDI QIDQ1275930FDOQ1275930

Authors: Michael Braverman 

Publication date: 14 January 1999

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

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zbMATH Keywords

sojourn timesexponential distributionsLévy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) General theory of stochastic processes (60G07)

Cites Work

• Convergence of stochastic processes
• Convolution tails, product tails and domains of attraction
• On the supremum of an infinitely divisible process
• On convolution tails
• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• The class of subexponential distributions
• The supremum of a process with stationary independent and symmetric increments
• Some asymptotic results for transient random walks
• Functions of probability measures
• Functionals of infinitely divisible stochastic processes with exponential tails
• 𝜉-radial processes and random Fourier series

Cited In (15)

• Suprema of compound Poisson processes with light tails.
• Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
• Sojourn measures of Student and Fisher-Snedecor random fields
• Heavy tails of a Lévy process and its maximum over a random time interval
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• On a class of Lévy processes
• Convolution equivalent Lévy processes and first passage times
• Path decomposition of ruinous behavior for a general Lévy insurance risk process
• On suprema of Lévy processes with light tails
• Stability of the exit time for Lévy processes
• Remarks on suprema of Lévy processes with light tailes
• Finite time ruin probabilities for tempered stable insurance risk processes
• Exact tail asymptotics of the supremum attained by a Lévy process
• Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process
• A NOTE ON THE CLOSURE OF CONVOLUTION POWER MIXTURES (RANDOM SUMS) OF EXPONENTIAL DISTRIBUTIONS

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