Distributions of subadditive functionals of sample paths of infinitely divisible processes
From MaRDI portal
Publication:686780
DOI10.1214/aop/1176989279zbMath0776.60049MaRDI QIDQ686780
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
stable processes; infinitely divisible processes; subadditive functionals; subexponential class of distributions; tail behavior of the distributions of functionals of sample paths
60E07: Infinitely divisible distributions; stable distributions
60G07: General theory of stochastic processes
60H05: Stochastic integrals
60G57: Random measures
Related Items
Maxima of continuous-time stationary stable processes, A SINGLE CHANNEL ON/OFF MODEL WITH TCP-LIKE CONTROL, On moments and tail behaviors of storage processes, Extremes of regularly varying Lévy-driven mixed moving average processes, On regular variation for infinitely divisible random vectors and additive processes, Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process, Extremes of Lévy driven mixed MA processes with convolution equivalent distributions, Hausdorff and packing dimensions of the images of random fields, 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, Lévy driven moving averages and semimartingales, On suprema of Lévy processes with light tails, Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws, Linear fractional stable sheets: Wavelet expansion and sample path properties, Suprema and sojourn times of Lévy processes with exponential tails, Remarks on suprema of Lévy processes with light tailes, Subexponentiality of the product of independent random variables, On LIL behaviour for moving averages of some infinitely divisible random measures, Association of infinitely divisible random vectors, Asymptotic behavior of conditional laws and moments of \(\alpha\)-stable random vectors, with application to upcrossing intensities, Extremes of totally skewed \(\alpha \)-stable processes, Distribution tails of sample quantiles and subexponentiality, Symmetric infinitely divisible processes with sample paths in Orlicz spaces and absolute continuity of infinitely divisible processes, Ruin probability with claims modeled by a stationary ergodic stable process., Tail probabilities of subadditive functionals of Lévy processes., Extremes and upcrossing intensities for \(P\)-differentiable stationary processes., Suprema of compound Poisson processes with light tails., On overload in a storage model, with a self-similar and infinitely divisible input., Functionals of infinitely divisible stochastic processes with exponential tails, Upper and lower classes for \(\mathbb{L}^ 2\)- and \(\mathbb{L}^ p\)-norms of Brownian motion and norms of \(\alpha\)-stable motion, Sample quantiles of heavy tailed stochastic processes, High level excursion set geometry for non-Gaussian infinitely divisible random fields, Tail probabilities of subadditive functionals on stable processes with continuous and discrete time, Extremal behavior of regularly varying stochastic processes, Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation
