Cramér's estimate for stable processes with power drift

DOI10.1214/19-EJP275MaRDI QIDQ2631842zbMATH OpenOpenAlexFDO

Authors Christophe Profeta, Thomas Simon

Publication date 16 May 2019

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.00745, https://projecteuclid.org/euclid.ejp/1551150461

zbMATH Keywords

extremeslower tail probabilitiespower driftstable process

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We investigate the upper tail probabilities of the all-time maximum of a stable L'evy process with a power negative drift. The asymptotic behaviour is shown to be exponential in the spectrally negative case and polynomial otherwise, with explicit exponents and constants. Analogous results are obtained, at a less precise level, for the fractionally integrated stable L'evy process. We also study the lower tail probabilities of the integrated stable L'evy process in the presence of a power positive drift.

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Cited in

(5)

• Cramér's estimate for Lévy processes
• Cramér's estimate for the reflected process revisited
• One-dimensional polymers in random environments: stretching vs. folding
• Stable Processes With Drift on the Line
• An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes

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