Tail behavior of random products and stochastic exponentials

DOI10.1016/J.SPA.2007.05.003zbMATH Open1137.60028OpenAlexW2061258117MaRDI QIDQ2476883FDOQ2476883

Authors: Serge Cohen, T. Mikosch 

Publication date: 12 March 2008

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

Full work available at URL: https://doi.org/10.1016/j.spa.2007.05.003

Recommendations

• Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
• Regular variation in the tail behaviour of solutions of random difference equations
• Distribution tails for solutions of SDE driven by an asymmetric stable Lévy process
• Lévy-Type Stochastic Integrals with Regularly Varying Tails
• A note on the product of independent random variables with regularly varying tails

zbMATH Keywords

stochastic differential equationtail behaviorstable processrandom product

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52)

Cites Work

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• Extremal behavior of regularly varying stochastic processes
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• On a strong Tauberian result
• Extremes of stochastic volatility models

Cited In (7)

• On the long tail property of product convolution
• Lévy-Type Stochastic Integrals with Regularly Varying Tails
• Tail behavior of the product of two dependent random variables with applications to risk theory
• Regular variation in the tail behaviour of solutions of random difference equations
• A landscape of peaks: the intermittency islands of the stochastic heat equation with Lévy noise
• Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
• Distribution tails for solutions of SDE driven by an asymmetric stable Lévy process

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