Tail behavior of random products and stochastic exponentials

Serge Cohen and Thomas Mikosch

Stochastic Processes and their Applications, 2008, vol. 118, issue 3, 333-345

Abstract: In this paper we study the distributional tail behavior of the solution to a linear stochastic differential equation driven by infinite variance [alpha]-stable Lévy motion. We show that the solution is regularly varying with index [alpha]. An important step in the proof is the study of a Poisson number of products of independent random variables with regularly varying tail. The study of these products merits its own interest because it involves interesting saddle-point approximation techniques.

Keywords: Random; product; Stable; process; Stochastic; differential; equation; Tail; behavior (search for similar items in EconPapers)
Date: 2008
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