Lévy-Type Stochastic Integrals with Regularly Varying Tails

DOI10.1081/SAP-200056692MaRDI QIDQ5316804zbMATH OpenFDO

Authors David Applebaum

Publication date 15 September 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

regular variationsemimartingaleLévy measurepredictable mapping

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17) Stochastic integrals (60H05)

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• Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure
• Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
• Lévy Processes and Stochastic Calculus
• On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
• Point processes, regular variation and weak convergence
• Regular variation of GARCH processes.
• Regularly varying functions
• Subexponentiality and infinite divisibility

Cited in

(6)

• On maximal inequalities for stable stochastic integrals
• 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

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