The supremum of a process with stationary independent and symmetric increments

DOI10.1016/0304-4149(86)90041-4zbMath0612.60063OpenAlexW1970052739MaRDI QIDQ1088300

Simeon M. Berman

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90041-4

zbMATH Keywords

regular variationLevy spectral measurerepresentation of the characteristic functionstationary independent and symmetric increments

Mathematics Subject Classification ID

Large deviations (60F10) Markov processes (60J99)

Related Items (17)

Suprema of compound Poisson processes with light tails. ⋮ Parisian ruin over a finite-time horizon ⋮ Functionals of infinitely divisible stochastic processes with exponential tails ⋮ On the supremum of an infinitely divisible process ⋮ Convolution equivalent Lévy processes and first passage times ⋮ Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process ⋮ On the general law of iterated logarithm with application to selfsimilar processes and to Gaussian processes in \(\mathbb{R}{}^ n\) and Hilbert space ⋮ On suprema of Lévy processes with light tails ⋮ Maxima of Sums of Heavy-Tailed Random Variables ⋮ Extremes of totally skewed stable motion ⋮ On sampling of stationary increment processes ⋮ On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes ⋮ Suprema and sojourn times of Lévy processes with exponential tails ⋮ Heavy tails of a Lévy process and its maximum over a random time interval ⋮ Remarks on suprema of Lévy processes with light tailes ⋮ The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance ⋮ Extremes of totally skewed \(\alpha \)-stable processes

Cites Work

• Correction to: Sojourns and extremes of Gaussian processes
• Sojourns and extremes of Fourier sums and series with random coefficients
• The maximum of a Gaussian process with nonconstant variance
• Sojourns and extremes of stationary processes
• A Combinatorial Lemma and Its Application to Probability Theory
• On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
• An asymptotic formula for the distribution of the maximum of a Gaussian process with stationary increments
• Sojourns and extremes of a diffusion process on a fixed interval
• On the Joint Distribution of a Process with Stationary Increments and Its Maximum
• On the Distribution of the Maximum of a Process with Independent Increments
• On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: The supremum of a process with stationary independent and symmetric increments