Suprema of compound Poisson processes with light tails.

DOI10.1016/S0304-4149(00)00039-9MaRDI QIDQ1879487zbMATH OpenOpenAlexFDO

Authors Michael Braverman

Publication date 22 September 2004

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

Full work available at URL https://doi.org/10.1016/s0304-4149(00)00039-9

zbMATH Keywords

tail behaviorcompound Poisson processLévy process

Mathematics Subject Classification ID

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

Recommendations

• Remarks on suprema of Lévy processes with light tailes
• On suprema of Lévy processes with light tails
• A note on extremes of compound Poisson processes
• On a class of Lévy processes
• Suprema and sojourn times of Lévy processes with exponential tails

Cites work

• scientific article; zbMATH DE number 3915290 (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
• Remarks on suprema of Lévy processes with light tailes
• Suprema and sojourn times of Lévy processes with exponential tails
• The supremum of a process with stationary independent and symmetric increments
• 𝜉-radial processes and random Fourier series

Cited in

(11)

• Corrigendum to ``On suprema of Lévy processes with light tails
• On suprema of Lévy processes with light tails
• On infinitely divisible distributions with light tails of Lévy measures
• A note on extremes of compound Poisson processes
• Maxima over random time intervals for heavy-tailed compound renewal and Lévy 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
• On a class of Lévy processes
• On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
• Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift
• Maxima of Sums of Heavy-Tailed Random Variables

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