On the Asymptotic Behaviour of Superexponential Lévy Processes

DOI10.1051/ps/2023015OpenAlexW4386824220MaRDI QIDQ6197998

Mattias Sundén, J. M. P. Albin

Publication date: 20 February 2024

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2023015

zbMATH Keywords

Lévy processesinfinitely divisible distributionsextreme value theorysuperexponential distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Characteristic functions; other transforms (60E10)

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