Lévy-Type Stochastic Integrals with Regularly Varying Tails
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Publication:5316804
DOI10.1081/SAP-200056692zbMATH Open1077.60042MaRDI QIDQ5316804FDOQ5316804
Authors: David Applebaum 
Publication date: 15 September 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
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Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17) Stochastic integrals (60H05)
Cites Work
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- Regularly varying functions
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- Point processes, regular variation and weak convergence
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- Lévy Processes and Stochastic Calculus
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- On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
- Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure
Cited In (6)
- Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
- Lévy stable distributions via associated integral transform
- On the Mean of a Stochastic Integral with Non-Gaussian α-Stable Noise
- Tail behavior of random products and stochastic exponentials
- On extended stochastic integrals with respect to Lévy processes
- On maximal inequalities for stable stochastic integrals
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