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)

zbMATH Keywords

compound Poisson processesextremal of pathLévy processes

Mathematics Subject Classification ID

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

Recommendations

• Suprema of compound Poisson processes with light tails.
• On suprema of Lévy processes with light tails
• A note on extremes of compound Poisson processes
• The supremum of a process with stationary independent and symmetric increments
• Suprema and sojourn times of Lévy processes with exponential tails

Cites work

• scientific article; zbMATH DE number 3215022 (Why is no real title available?)
• 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
• 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)

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

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