Suprema and sojourn times of Lévy processes with exponential tails
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Publication:1275930
DOI10.1016/S0304-4149(97)00031-8zbMath0915.60050MaRDI QIDQ1275930
Publication date: 14 January 1999
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Infinitely divisible distributions; stable distributions (60E07) General theory of stochastic processes (60G07)
Related Items (13)
Suprema of compound Poisson processes with light tails. ⋮ Stability of the exit time for Lévy processes ⋮ Convolution equivalent Lévy processes and first passage times ⋮ Sojourn measures of Student and Fisher-Snedecor random fields ⋮ 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 ⋮ Path decomposition of ruinous behavior for a general Lévy insurance risk process ⋮ On a class of Lévy processes ⋮ Finite time ruin probabilities for tempered stable insurance risk processes ⋮ On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes ⋮ Heavy tails of a Lévy process and its maximum over a random time interval ⋮ Remarks on suprema of Lévy processes with light tailes ⋮ Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation
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- The class of subexponential distributions
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