On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
type: Item
instance of: scholarly article
title: On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
zbMATH Open document ID: 1156.60029
author: J. M. P. Albin
author: Mattias Sundén
published in: Stochastic Processes and their Applications
publication date: 2009-02-19T00:00:00Z
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 40E05
Mathematics Subject Classification ID: 44A10
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 5509509
zbMATH Keywords: CGMY process
zbMATH Keywords: Esscher transform
zbMATH Keywords: exponential distribution
zbMATH Keywords: extreme value theory
zbMATH Keywords: GH process
zbMATH Keywords: GZ process
zbMATH Keywords: infinitely divisible distribution
zbMATH Keywords: Lévy process
zbMATH Keywords: long-tailed distribution
zbMATH Keywords: semi-heavy-tailed distribution
zbMATH Keywords: subexponential distribution
MaRDI profile type: Publication
full work available at URL: j.spa.2008.02.004
OpenAlex ID: W2079758198
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DOI: 10.1016/J.SPA.2008.02.004
description: scientific article; zbMATH DE number 5509509