Functionals of infinitely divisible stochastic processes with exponential tails

Michael Braverman, Gennady Samorodnitsky

Research output: Contribution to journalArticlepeer-review

25 Scopus citations

Abstract

We investigate the tail behavior of the distributions of subadditive functionals of the sample paths of infinitely divisible stochastic processes when the Lévy measure of the process has suitably defined exponentially decreasing tails. It is shown that the probability tails of such functionals are of the same order of magnitude as the tails of the same functionals with respect to the Lévy measure, and it turns out that the results of this kind cannot, in general, be improved. In certain situations we can further obtain both lower and upper bounds on the asymptotic ratio of the two tails. In the second part of the paper we consider the particular case of Lévy processes with exponentially decaying Lévy measures. Here we show that the tail of the maximum of the process is, up to a multiplicative constant, asymptotic to the tail of the Lévy measure. Most of the previously published work in the area considered heavier than exponential probability tails.

Original languageEnglish
Pages (from-to)207-231
Number of pages25
JournalStochastic Processes and their Applications
Volume56
Issue number2
DOIs
StatePublished - 1 Jan 1995
Externally publishedYes

Keywords

  • Exponential distributions
  • Infinitely divisible processes
  • Tail behavior of the distributions of functionals of sample paths

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics

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