Suprema of compound Poisson processes with light tails.

DOI10.1016/S0304-4149(00)00039-9zbMath1046.60049OpenAlexW2161308347MaRDI QIDQ1879487

Michael Braverman

Publication date: 22 September 2004

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(00)00039-9

zbMATH Keywords

tail behaviorLévy processcompound Poisson process

Mathematics Subject Classification ID

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

Related Items (6)

On infinitely divisible distributions with light tails of Lévy measures ⋮ On suprema of Lévy processes with light tails ⋮ Maxima of Sums of Heavy-Tailed Random Variables ⋮ On a class of Lévy processes ⋮ On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes ⋮ Heavy tails of a Lévy process and its maximum over a random time interval

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
• Remarks on suprema of Lévy processes with light tailes
• Functionals of infinitely divisible stochastic processes with exponential tails
• 𝜉-radial processes and random Fourier series

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