Remarks on suprema of Lévy processes with light tailes

DOI10.1016/S0167-7152(98)00244-2zbMath0947.60036MaRDI QIDQ1284585

Michael Braverman

Publication date: 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Lévy processescompound Poisson processesextremal of path

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70) Sample path properties (60G17)

Related Items (3)

Suprema of compound Poisson processes with light tails. ⋮ On the Asymptotic Behaviour of Superexponential Lévy Processes ⋮ Maxima of Sums of Heavy-Tailed Random Variables

Cites Work

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• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• The supremum of a process with stationary independent and symmetric increments
• On the supremum of an infinitely divisible process
• Extremes of totally skewed stable motion
• Suprema and sojourn times of Lévy processes with exponential tails
• Functionals of infinitely divisible stochastic processes with exponential tails

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