Suprema and sojourn times of Lévy processes with exponential tails

DOI10.1016/S0304-4149(97)00031-8MaRDI QIDQ1275930zbMATH OpenFDO

Authors Michael Braverman

Publication date 14 January 1999

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

zbMATH Keywords

sojourn timesexponential distributionsLévy process

Mathematics Subject Classification ID

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

Recommendations

• On suprema of Lévy processes with light tails
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• On a class of Lévy processes
• Suprema of Lévy processes

Cites work

• scientific article; zbMATH DE number 4030594 (Why is no real title available?)
• scientific article; zbMATH DE number 107615 (Why is no real title available?)
• Convergence of stochastic processes
• Convolution tails, product tails and domains of attraction
• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Functionals of infinitely divisible stochastic processes with exponential tails
• Functions of probability measures
• On convolution tails
• On the supremum of an infinitely divisible process
• Some asymptotic results for transient random walks
• The class of subexponential distributions
• The supremum of a process with stationary independent and symmetric increments
• 𝜉-radial processes and random Fourier series

Cited in

(17)

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

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