L1 norm of Lévy processes with exponential tails

Michael Braverman; Gennady Samorodnitsky

doi:10.7146/math.scand.a-12584

L¹ norm of Lévy processes with exponential tails

Michael Braverman
, Gennady Samorodnitsky

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

For a Lévy process (X(t), t ≧ 0} for which both left and right tails of the Lévy measure are in the exponential class S(α), and so is their sum, we compute the tail distribution of the sample path L¹ norm on an interval of finite length.

Original language	English
Pages (from-to)	213-232
Number of pages	20
Journal	Mathematica Scandinavica
Volume	78
Issue number	2
DOIs	https://doi.org/10.7146/math.scand.a-12584
State	Published - 1 Jan 1996

ASJC Scopus subject areas

General Mathematics

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abstract = "For a L{\'e}vy process (X(t), t ≧ 0\} for which both left and right tails of the L{\'e}vy measure are in the exponential class S(α), and so is their sum, we compute the tail distribution of the sample path L1 norm on an interval of finite length.",

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AB - For a Lévy process (X(t), t ≧ 0} for which both left and right tails of the Lévy measure are in the exponential class S(α), and so is their sum, we compute the tail distribution of the sample path L1 norm on an interval of finite length.

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L¹ norm of Lévy processes with exponential tails

Abstract

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