Passage time and fluctuation calculations for subexponential Lévy processes

DOI10.3150/15-BEJ700zbMath1338.60127arXiv1306.1720MaRDI QIDQ282543

Claudia Klüppelberg, Ross A. Maller, Ronald Arthur Doney

Publication date: 12 May 2016

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.1720

zbMATH Keywords

Lévy processesregular variationlimit distributionsfluctuation theoryovershootsubexponential growthmaximum domain of attractionpassage timeundershoot

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Functional limit theorems; invariance principles (60F17)

Related Items (4)

Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes ⋮ On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes ⋮ A lifetime of excursions through random walks and Lévy processes ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions

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