Heavy tails of a Lévy process and its maximum over a random time interval

DOI10.1007/S11425-011-4223-8zbMath1236.60046OpenAlexW2254869088MaRDI QIDQ763680

Yan Liu, Qi-he Tang

Publication date: 29 March 2012

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-011-4223-8

zbMATH Keywords

heavy-tailed distributionLévy processmaximumtail asymptotics

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)

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