On a class of Lévy processes

DOI10.1016/j.spl.2005.05.023zbMath1103.60021OpenAlexW2085380785MaRDI QIDQ2489844

Michael Braverman

Publication date: 28 April 2006

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.05.023

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (9)

Sample paths of a Lévy process leading to first passage over high levels in finite time ⋮ Cramér's estimate for the reflected process revisited ⋮ Properties and numerical evaluation of the Rosenblatt distribution ⋮ On the Asymptotic Behaviour of Superexponential Lévy Processes ⋮ On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes ⋮ The uniform local asymptotics for a Lévy process and its overshoot and undershoot ⋮ Randomly stopped sums with exponential-type distributions ⋮ Heavy tails of a Lévy process and its maximum over a random time interval ⋮ The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance

Cites Work

• Convolution tails, product tails and domains of attraction
• Suprema and sojourn times of Lévy processes with exponential tails
• Processes of normal inverse Gaussian type
• Generalized \(z\)-distributions and related stochastic processes
• Suprema of compound Poisson processes with light tails.
• Functionals of infinitely divisible stochastic processes with exponential tails
• Stochastic Volatility for Lévy Processes
• Convolution equivalence and infinite divisibility

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