On a class of Lévy processes

DOI10.1016/J.SPL.2005.05.023zbMATH Open1103.60021OpenAlexW2085380785MaRDI QIDQ2489844FDOQ2489844

Authors: Michael Braverman 

Publication date: 28 April 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.05.023

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Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cites Work

• Stochastic Volatility for Lévy Processes
• Processes of normal inverse Gaussian type
• Convolution tails, product tails and domains of attraction
• Convolution equivalence and infinite divisibility
• Generalized \(z\)-distributions and related stochastic processes
• Suprema and sojourn times of Lévy processes with exponential tails
• Functionals of infinitely divisible stochastic processes with exponential tails
• Suprema of compound Poisson processes with light tails.

Cited In (21)

• Suprema of compound Poisson processes with light tails.
• Properties and numerical evaluation of the Rosenblatt distribution
• Eventual intersection for sequences of Lévy processes
• Heavy tails of a Lévy process and its maximum over a random time interval
• A Lévy Process Reflected at a Poisson Age Process
• The range of a perturbed Lévy process
• Cramér's estimate for the reflected process revisited
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• Sample paths of a Lévy process leading to first passage over high levels in finite time
• Thorin classes of Lévy processes and their transforms
• On hypoellipticity of generators of Lévy processes
• Title not available (Why is that?)
• On the class of distributions of subordinated Lévy processes and bases
• On the Asymptotic Behaviour of Superexponential Lévy Processes
• The uniform local asymptotics for a Lévy process and its overshoot and undershoot
• The maximum of randomly weighted sums with long tails in insurance and finance
• On time changes for Lévy processes
• Randomly stopped sums with exponential-type distributions
• On several two-boundary problems for a particular class of Lévy processes
• On the limiting behaviour of Lévy processes at zero
• On future drawdowns of Lévy processes

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