Extremal behavior of regularly varying stochastic processes

DOI10.1016/j.spa.2004.09.003zbMath1070.60046OpenAlexW2089010354MaRDI QIDQ2485825

Filip Lindskog, Henrik Hult

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2004.09.003

zbMATH Keywords

Markov processesExtreme valuesRegular variationFunctional limit theorem

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) General theory of stochastic processes (60G07) Sample path properties (60G17) Functional limit theorems; invariance principles (60F17)

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Cites Work

• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• An introduction to the theory of point processes
• max-infinitely divisible and max-stable sample continuous processes
• On convergence toward an extreme value distribution in \(C[0,1\)]
• Tail probabilities of subadditive functionals of Lévy processes.
• A characterization of multivariate regular variation.
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