Tail probabilities of subadditive functionals on stable processes with continuous and discrete time

Michael Braverman

doi:10.1016/j.spa.2004.02.001

Tail probabilities of subadditive functionals on stable processes with continuous and discrete time

Michael Braverman

Department of Mathematics

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

5 Scopus citations

Abstract

For symmetric stable processes with negative drift and continuous or discrete time the probabilistic tails of the subadditive functionals, acting on sample paths, are investigated. We prove a general result and applying it to examples show how the rate of decay can vary. The proof is based on the series representation of stable processes.

Original language	English
Pages (from-to)	157-183
Number of pages	27
Journal	Stochastic Processes and their Applications
Volume	112
Issue number	1
DOIs	https://doi.org/10.1016/j.spa.2004.02.001
State	Published - 1 Jul 2004

Keywords

Asymptotics
Stable process
Subadditive functional

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation
Applied Mathematics

Access to Document

10.1016/j.spa.2004.02.001

Cite this

@article{27ca916c907040ff86ac14f32590f894,

title = "Tail probabilities of subadditive functionals on stable processes with continuous and discrete time",

abstract = "For symmetric stable processes with negative drift and continuous or discrete time the probabilistic tails of the subadditive functionals, acting on sample paths, are investigated. We prove a general result and applying it to examples show how the rate of decay can vary. The proof is based on the series representation of stable processes.",

keywords = "Asymptotics, Stable process, Subadditive functional",

author = "Michael Braverman",

year = "2004",

month = jul,

day = "1",

doi = "10.1016/j.spa.2004.02.001",

language = "English",

volume = "112",

pages = "157--183",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - Tail probabilities of subadditive functionals on stable processes with continuous and discrete time

AU - Braverman, Michael

PY - 2004/7/1

Y1 - 2004/7/1

N2 - For symmetric stable processes with negative drift and continuous or discrete time the probabilistic tails of the subadditive functionals, acting on sample paths, are investigated. We prove a general result and applying it to examples show how the rate of decay can vary. The proof is based on the series representation of stable processes.

AB - For symmetric stable processes with negative drift and continuous or discrete time the probabilistic tails of the subadditive functionals, acting on sample paths, are investigated. We prove a general result and applying it to examples show how the rate of decay can vary. The proof is based on the series representation of stable processes.

KW - Asymptotics

KW - Stable process

KW - Subadditive functional

UR - http://www.scopus.com/inward/record.url?scp=2542444410&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2004.02.001

DO - 10.1016/j.spa.2004.02.001

M3 - Article

AN - SCOPUS:2542444410

SN - 0304-4149

VL - 112

SP - 157

EP - 183

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 1

ER -

Tail probabilities of subadditive functionals on stable processes with continuous and discrete time

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this