On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes

DOI10.1016/j.spa.2008.02.004zbMath1156.60029OpenAlexW2079758198MaRDI QIDQ1001850

Mattias Sundén, J. M. P. Albin

Publication date: 19 February 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.02.004

zbMATH Keywords

exponential distributioninfinitely divisible distributionLévy processextreme value theorysubexponential distributionlong-tailed distributionEsscher transformCGMY processGH processGZ processsemi-heavy-tailed distribution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Large deviations (60F10) Financial applications of other theories (91G80) Laplace transform (44A10) Tauberian theorems (40E05)

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