On a class of Lévy processes

Michael Braverman

doi:10.1016/j.spl.2005.05.023

On a class of Lévy processes

Michael Braverman

Department of Mathematics

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

10 Scopus citations

Abstract

A class of Lévy processes with exponentially decaying tails of Lévy measure are investigated. One of the results is that the probability tails of the supremum of the process over finite interval and of the value of the process at the right end of the interval have equivalent probability tails.

Original language	English
Pages (from-to)	179-189
Number of pages	11
Journal	Statistics and Probability Letters
Volume	75
Issue number	3
DOIs	https://doi.org/10.1016/j.spl.2005.05.023
State	Published - 1 Dec 2005

Keywords

Extremes
Lévy processes
Tails

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2005.05.023

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title = "On a class of L{\'e}vy processes",

abstract = "A class of L{\'e}vy processes with exponentially decaying tails of L{\'e}vy measure are investigated. One of the results is that the probability tails of the supremum of the process over finite interval and of the value of the process at the right end of the interval have equivalent probability tails.",

keywords = "Extremes, L{\'e}vy processes, Tails",

author = "Michael Braverman",

note = "Funding Information: Research supported by Kamea program. ",

year = "2005",

month = dec,

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doi = "10.1016/j.spl.2005.05.023",

language = "English",

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journal = "Statistics and Probability Letters",

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AU - Braverman, Michael

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AB - A class of Lévy processes with exponentially decaying tails of Lévy measure are investigated. One of the results is that the probability tails of the supremum of the process over finite interval and of the value of the process at the right end of the interval have equivalent probability tails.

KW - Extremes

KW - Lévy processes

KW - Tails

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U2 - 10.1016/j.spl.2005.05.023

DO - 10.1016/j.spl.2005.05.023

M3 - Article

AN - SCOPUS:28044457171

SN - 0167-7152

VL - 75

SP - 179

EP - 189

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 3

ER -

On a class of Lévy processes

Abstract

Keywords

ASJC Scopus subject areas

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