On overload in a storage model, with a self-similar and infinitely divisible input.

DOI10.1214/105051604000000125zbMath1047.60034arXivmath/0405291OpenAlexW2157488135MaRDI QIDQ1879893

J. M. P. Albin, Gennady Samorodnitsky

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0405291

zbMATH Keywords

heavy tailsLévy processstable processsubexponential distributionself-similar processstorage processinfinitely divisible processstationary increment process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Inventory, storage, reservoirs (90B05) Self-similar stochastic processes (60G18)

Related Items (6)

Extremes of stationary Gaussian storage models ⋮ On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences ⋮ Extremes of reflecting Gaussian processes on discrete grid ⋮ On the infimum attained by the reflected fractional Brownian motion ⋮ Limit theorem for maximum of the storage process with fractional Brownian motion as input ⋮ Maximum of a partial sample in the uniform AR(1) processes

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