A Lévy-derived process seen from its supremum and max-stable processes

DOI10.1214/16-EJP1112zbMath1336.60093arXiv1405.3443MaRDI QIDQ287704

Sebastian Engelke, Jevgenijs Ivanovs

Publication date: 23 May 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.3443

zbMATH Keywords

conditionally positive processItō's excursion theoryKuznetsov measuremixed moving maxima representationstationary particle system

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

Related Items (4)

Generalized Pickands constants and stationary max-stable processes ⋮ Max-stable processes and stationary systems of Lévy particles ⋮ Discretization of the Lamperti representation of a positive self-similar Markov process ⋮ Approximation of supremum of max-stable stationary processes \& Pickands constants

This page was built for publication: A Lévy-derived process seen from its supremum and max-stable processes