Remarks on suprema of Lévy processes with light tailes

Michael Braverman

Statistics & Probability Letters, 1999, vol. 43, issue 1, 41-48

Abstract: Let X(t), 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1 be a Lévy process. A comparison between the right tail of sup0[less-than-or-equals, slant]t[less-than-or-equals, slant]1 X(t) and the right tail of X(1) is considered. An example is given for which these tailes are incomparable. A class of Lévy process with "light" tails is described for which these tails have the same behavior.

Keywords: Tail; behavior; Lévy; process; Compound; Poisson; process (search for similar items in EconPapers)
Date: 1999
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