Distributions of subadditive functionals of sample paths of infinitely divisible processes

DOI10.1214/AOP/1176989279zbMATH Open0776.60049OpenAlexW2031900059MaRDI QIDQ686780FDOQ686780

Authors: Jan Rosiński, Gennady Samorodnitsky

Publication date: 11 October 1993

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989279

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infinitely divisible processes stable processes subadditive functionals subexponential class of distributions tail behavior of the distributions of functionals of sample paths

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random measures (60G57) Stochastic integrals (60H05) General theory of stochastic processes (60G07)

Cited In (55)

Lévy measures of infinitely divisible positive processes: examples and distributional identities
Suprema of compound Poisson processes with light tails.
Tail probabilities of subadditive functionals on stable processes with continuous and discrete time
Extremes of totally skewed \(\alpha \)-stable processes
On path properties of certain infinitely divisible processes
Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction
Functionals of infinitely divisible stochastic processes with exponential tails
Extremal theory for long range dependent infinitely divisible processes
Maxima of continuous-time stationary stable processes
A generalization result regarding the small and large scale behavior of infinitely divisible processes
Heavy tails of a Lévy process and its maximum over a random time interval
Limit theory for the sample autocovariance for heavy-tailed stationary infinitely divisible processes generated by conservative flows
Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
Tail probabilities of subadditive functionals of Lévy processes.
Functional regular variation of Lévy-driven multivariate mixed moving average processes
Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
Linear fractional stable sheets: Wavelet expansion and sample path properties
Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
The tail process and tail measure of continuous time regularly varying stochastic processes
Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure
Sample paths of a Lévy process leading to first passage over high levels in finite time
Convolution equivalent Lévy processes and first passage times
On suprema of Lévy processes with light tails
Symmetric infinitely divisible processes with sample paths in Orlicz spaces and absolute continuity of infinitely divisible processes
Association of infinitely divisible random vectors
On regular variation for infinitely divisible random vectors and additive processes
Ruin probability with claims modeled by a stationary ergodic stable process.
Volatility activity: specification and estimation
High level excursion set geometry for non-Gaussian infinitely divisible random fields
Subexponentiality of the product of independent random variables
Remarks on suprema of Lévy processes with light tailes
On LIL behaviour for moving averages of some infinitely divisible random measures
Extremes of the stochastic heat equation with additive Lévy noise
Upper and lower classes for \(\mathbb{L}^ 2\)- and \(\mathbb{L}^ p\)-norms of Brownian motion and norms of \(\alpha\)-stable motion
On moments and tail behaviors of storage processes
On overload in a storage model, with a self-similar and infinitely divisible input.
Distribution tails of sample quantiles and subexponentiality
Asymptotic behavior of conditional laws and moments of \(\alpha\)-stable random vectors, with application to upcrossing intensities
Sample quantiles of heavy tailed stochastic processes
Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process
Laws of the iterated logarithm of chover-type for operator stable Lévy processes
Functional sample path properties of subsequence's C-R increments for a Wiener process in Hölder norm
Excursion sets of infinitely divisible random fields with convolution equivalent Lévy measure
Extremal behavior of regularly varying stochastic processes
Central limit theorem for mean and variogram estimators in Lévy–based models
Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure
Extremes and upcrossing intensities for \(P\)-differentiable stationary processes.
Hausdorff and packing dimensions of the images of random fields
Characterization of the finite variation property for a class of stationary increment infinitely divisible processes
Extremes of regularly varying Lévy-driven mixed moving average processes
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Suprema and sojourn times of Lévy processes with exponential tails
Lévy driven moving averages and semimartingales

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