Remarks on suprema of Lévy processes with light tailes

Michael Braverman

doi:10.1016/S0167-7152(98)00244-2

Remarks on suprema of Lévy processes with light tailes

Michael Braverman

Department of Mathematics

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

3 Scopus citations

Abstract

Let X(t),0≤t≤1 be a Lévy process. A comparison between the right tail of sup_0≤t≤1X(t) and the right tail of X(1) is considered. An example is given for which these tailes are incomparable. A class of Lévy process with "light" tails is described for which these tails have the same behavior.

Original language	English
Pages (from-to)	41-48
Number of pages	8
Journal	Statistics and Probability Letters
Volume	43
Issue number	1
DOIs	https://doi.org/10.1016/S0167-7152(98)00244-2
State	Published - 15 May 1999

Keywords

60G70
Compound Poisson process
Lévy process
Primary 60G17
Secondary 60E07
Tail behavior

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/S0167-7152(98)00244-2

Cite this

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abstract = "Let X(t),0≤t≤1 be a L{\'e}vy process. A comparison between the right tail of sup0≤t≤1X(t) and the right tail of X(1) is considered. An example is given for which these tailes are incomparable. A class of L{\'e}vy process with {"}light{"} tails is described for which these tails have the same behavior.",

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AB - Let X(t),0≤t≤1 be a Lévy process. A comparison between the right tail of sup0≤t≤1X(t) and the right tail of X(1) is considered. An example is given for which these tailes are incomparable. A class of Lévy process with "light" tails is described for which these tails have the same behavior.

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KW - Compound Poisson process

KW - Lévy process

KW - Primary 60G17

KW - Secondary 60E07

KW - Tail behavior

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M3 - Article

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JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

IS - 1

ER -

Remarks on suprema of Lévy processes with light tailes

Abstract

Keywords

ASJC Scopus subject areas

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