Exact tail asymptotics of the supremum attained by a Lévy process

DOI10.1016/j.spl.2014.09.005zbMath1319.60097OpenAlexW1971511515MaRDI QIDQ2339545

Krzysztof Dȩbicki, N. M. Asghari, M. R. H. Mandjes

Publication date: 1 April 2015

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

Full work available at URL: https://doi.org/10.1016/j.spl.2014.09.005

zbMATH Keywords

importance samplingLévy processmaximum valuetail asymptoticssecond factorization identity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sampling theory, sample surveys (62D05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

On scaling limits of random trees and maps with a prescribed degree sequence

Cites Work

• Unnamed Item
• Cramér's estimate for Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Stochastic simulation: Algorithms and analysis
• Applied Probability and Queues
• Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue

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