Tail behavior of random products and stochastic exponentials

DOI10.1016/J.SPA.2007.05.003MaRDI QIDQ2476883zbMATH OpenOpenAlexFDO

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

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)

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

Cites work

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• Extremal behavior of regularly varying stochastic processes
• Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
• Extremes of moving averages of random variables with finite endpoint
• Extremes of stochastic volatility models
• On a strong Tauberian result
• Regular variation for measures on metric spaces
• Saddlepoint approximations

Cited in

(7)

• On the long tail property of product convolution
• Tail behavior of the product of two dependent random variables with applications to risk theory
• Lévy-Type Stochastic Integrals with Regularly Varying Tails
• 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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