Remarks on suprema of Lévy processes with light tailes

DOI10.1016/S0167-7152(98)00244-2MaRDI QIDQ1284585zbMATH OpenFDO

Authors Michael Braverman

Publication date 1999

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(98)00244-2

zbMATH Keywords

compound Poisson processesextremal of pathLévy processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sample path properties (60G17) Extreme value theory; extremal stochastic processes (60G70)

Review text

The authors study compound Poisson processes \(X(t)\), \(t\geq 0\), with stationary increments and with jump sizes having light right tail and finite variance. If the jump size distribution is centered, it is shown that \[ P\Bigl(\sup_{0\leq t\leq 1} X(t)>x\Bigr)\sim P(X(1)> x) \quad\text{as }x\to \infty. \tag \(*\) \] If \(X(t)\) is provided with a drift \(bt\), then the same holds if \(b> 0\). If \(b< 0\), then \((*)\) holds if the right hand side is substituted by \(P(X(\Gamma_T)> x)\). Here \(\Gamma_T\) denotes the last jumping time before \(t= 1\) of the underlying Poisson process.

Recommendations

• Suprema of compound Poisson processes with light tails.
• On suprema of Lévy processes with light tails
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Cites work

• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Extremes of totally skewed stable motion
• Functionals of infinitely divisible stochastic processes with exponential tails
• scientific article; zbMATH DE number 3215022 (Why is no real title available?)
• On the supremum of an infinitely divisible process
• Suprema and sojourn times of Lévy processes with exponential tails
• The supremum of a process with stationary independent and symmetric increments

Cited in

(10)

• Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift
• On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
• Suprema of compound Poisson processes with light tails.
• Exact tail asymptotics of the supremum attained by a Lévy process
• A note on extremes of compound Poisson processes
• Maxima of Sums of Heavy-Tailed Random Variables
• Corrigendum to ``On suprema of Lévy processes with light tails
• On the Asymptotic Behaviour of Superexponential Lévy Processes
• On suprema of Lévy processes and application in risk theory
• On suprema of Lévy processes with light tails

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