Distribution tails of sample quantiles and subexponentiality

DOI10.1016/S0304-4149(98)00022-2zbMath0932.60042OpenAlexW2081385246MaRDI QIDQ1805774

Gennady Samorodnitsky, Michael Braverman

Publication date: 18 November 1999

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00022-2

zbMATH Keywords

tail behaviorLévy measuresubexponential distributioninfinitely divisible processessample quantiles

Mathematics Subject Classification ID

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

Cites Work

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• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Spectral representations of infinitely divisible processes
• Degeneracy properties of subcritical branching processes
• Subexponentiality of the product of independent random variables
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• Sample quantiles of heavy tailed stochastic processes
• A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
• Sample quantiles of stochastic processes with stationary and independent ents
• Subexponentiality and infinite divisibility
• Intermediate Regular and Π Variation

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