Tail probabilities of subadditive functionals on stable processes with continuous and discrete time

DOI10.1016/J.SPA.2004.02.001zbMath1081.60031OpenAlexW1965878571MaRDI QIDQ2485771

Michael Braverman

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2004.02.001

zbMATH Keywords

sojourn timelast hitting timeoverall supremum

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10) Sample path properties (60G17) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Related Items (5)

Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows ⋮ Ruin probability with certain stationary stable claims generated by conservative flows ⋮ Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes ⋮ Heavy tails of a Lévy process and its maximum over a random time interval ⋮ Tail Probability of the Supremum of a Random Walk with Stable Steps and a Nonlinear Negative Drift

Cites Work

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• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• About boundedness of stable sequences.
• Ruin probability with claims modeled by a stationary ergodic stable process.
• Tail probabilities of subadditive functionals of Lévy processes.

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