Tail probabilities of subadditive functionals on stable processes with continuous and discrete time

Michael Braverman

Stochastic Processes and their Applications, 2004, vol. 112, issue 1, 157-183

Abstract: For symmetric stable processes with negative drift and continuous or discrete time the probabilistic tails of the subadditive functionals, acting on sample paths, are investigated. We prove a general result and applying it to examples show how the rate of decay can vary. The proof is based on the series representation of stable processes.

Keywords: Subadditive; functional; Stable; process; Asymptotics (search for similar items in EconPapers)
Date: 2004
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