On a class of Lévy processes

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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 languageEnglish
Pages (from-to)179-189
Number of pages11
JournalStatistics and Probability Letters
Volume75
Issue number3
DOIs
StatePublished - 1 Dec 2005

Keywords

  • Extremes
  • Lévy processes
  • Tails

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