Functionals of infinitely divisible stochastic processes with exponential tails

DOI10.1016/0304-4149(94)00074-4zbMATH Open0819.60020OpenAlexW2072140221MaRDI QIDQ1890697FDOQ1890697

Authors: Michael Braverman, Gennady Samorodnitsky 

Publication date: 23 May 1995

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

Full work available at URL: https://hdl.handle.net/1813/8964

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zbMATH Keywords

infinitely divisible distributions[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]subadditive functionals[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+measures&go=Go L��vy measures]exponential probability distributions

Mathematics Subject Classification ID

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

Cites Work

• Subexponentiality and infinite divisibility
• Convergence of stochastic processes
• Title not available (Why is that?)
• Convolution tails, product tails and domains of attraction
• On the supremum of an infinitely divisible process
• On convolution tails
• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Title not available (Why is that?)
• The class of subexponential distributions
• The supremum of a process with stationary independent and symmetric increments
• Title not available (Why is that?)
• Some asymptotic results for transient random walks
• Functions of probability measures
• 𝜉-radial processes and random Fourier series
• Exponential moments of vector valued random series and triangular arrays

Cited In (30)

• Suprema of compound Poisson processes with light tails.
• Tail probabilities of subadditive functionals on stable processes with continuous and discrete time
• Extremes of totally skewed \(\alpha \)-stable processes
• Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
• On distributions of exponential functionals of the processes with independent increments
• Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction
• Heavy tails of a Lévy process and its maximum over a random time interval
• Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
• Extreme value theory for spatial random fields -- with application to a Lévy-driven field
• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Tail probabilities of subadditive functionals of Lévy processes.
• Functional regular variation of Lévy-driven multivariate mixed moving average processes
• Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
• On the supremum of an infinitely divisible process
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• On a class of Lévy processes
• Convolution equivalent Lévy processes and first passage times
• On suprema of Lévy processes with light tails
• Remarks on suprema of Lévy processes with light tailes
• Finite time ruin probabilities for tempered stable insurance risk processes
• Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
• Sample quantiles of heavy tailed stochastic processes
• Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
• Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure
• On Exponential Functionals of Processes with Independent Increments
• A NOTE ON THE CLOSURE OF CONVOLUTION POWER MIXTURES (RANDOM SUMS) OF EXPONENTIAL DISTRIBUTIONS
• Maxima of Sums of Heavy-Tailed Random Variables
• Extremes of subexponential Lévy driven moving average processes
• Extremes of regularly varying Lévy-driven mixed moving average processes
• Suprema and sojourn times of Lévy processes with exponential tails

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