Tail probabilities of subadditive functionals on stable processes with continuous and discrete time

DOI10.1016/J.SPA.2004.02.001MaRDI QIDQ2485771zbMATH OpenOpenAlexFDO

Authors Michael Braverman

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2004.02.001

zbMATH Keywords

sojourn timelast hitting timeoverall supremum

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Sample path properties (60G17) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• About boundedness of stable sequences.
• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Ruin probability with claims modeled by a stationary ergodic stable process.
• Tail probabilities of subadditive functionals of Lévy processes.

Cited in

(10)

• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Estimates on the tail probabilities of subordinators and applications to general time fractional equations
• Tail probability of the supremum of a random walk with stable steps and a nonlinear negative drift
• Tail probabilities of subadditive functionals of Lévy processes.
• On moments and tail behavior of \(\nu\)-stable random variables
• Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes
• Heavy tails of a Lévy process and its maximum over a random time interval
• Excursions and path functionals for stochastic processes with asymptotically zero drifts
• Ruin probability with certain stationary stable claims generated by conservative flows
• Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows

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