On moments and tail behaviors of storage processes

DOI10.1239/jap/1067436101zbMath1055.60094OpenAlexW2126270533MaRDI QIDQ4819516

Makoto Yamazato, Arturo Kohatsu-Higa

Publication date: 27 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10230/836

zbMATH Keywords

subordinatorsubexponentialitysubmultiplicative functiondam processaverage process

Mathematics Subject Classification ID

Related Items (2)

Multi-scaling of moments in stochastic volatility models ⋮ Moment bounds for dissipative semimartingales with heavy jumps

Cites Work

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