Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
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Publication:1930656
DOI10.1214/12-AIHP477zbMATH Open1266.60086arXiv0905.2401MaRDI QIDQ1930656FDOQ1930656
Publication date: 11 January 2013
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: We determine the rate of decrease of the right tail distribution of the exponential functional of a Levy process with a convolution equivalent Levy measure. Our main result establishes that it decreases as the right tail of the image under the exponential function of the Levy measure of the underlying Levy process. The method of proof relies on fluctuation theory of Levy processes and an explicit path-wise representation of the exponential functional as the exponential functional of a bivariate subordinator. Our techniques allow us to establish rather general estimates of the measure of the excursions out from zero for the underlying Levy process reflected in its past infimum, whose area under the exponential of the excursion path exceed a given value.
Full work available at URL: https://arxiv.org/abs/0905.2401
convolution equivalent distributionsexponential functionals of Levy processesfluctuation theory of Levy processes
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Cited In (18)
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