On suprema of Lévy processes with light tails

DOI10.1016/J.SPA.2009.12.004zbMath1187.60036OpenAlexW2042602513MaRDI QIDQ963037

Michael Braverman

Publication date: 8 April 2010

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

Full work available at URL: https://doi.org/10.1016/j.spa.2009.12.004

zbMATH Keywords

Brownian motionPoisson processsupremum

Mathematics Subject Classification ID

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

Related Items (3)

On the Asymptotic Behaviour of Superexponential Lévy Processes ⋮ On infinitely divisible distributions with light tails of Lévy measures ⋮ Corrigendum to ``On suprema of Lévy processes with light tails

Cites Work

• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• The supremum of a process with stationary independent and symmetric increments
• On the supremum of an infinitely divisible process
• Characterization of a class of infinitely divisible distributions in Hilbert space
• Suprema of compound Poisson processes with light tails.
• Functionals of infinitely divisible stochastic processes with exponential tails
• Approximations for compound Poisson and Pólya processes
• 𝜉-radial processes and random Fourier series
• Uniform saddlepoint approximations

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