On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes

J.M.P. Albin and Mattias Sundén

Stochastic Processes and their Applications, 2009, vol. 119, issue 1, 281-304

Abstract: We study tail probabilities of the suprema of Lévy processes with subexponential or exponential marginal distributions over compact intervals. Several of the processes for which the asymptotics are studied here for the first time have recently become important to model financial time series. Hence our results should be important, for example, in the assessment of financial risk.

Keywords: CGMY; process; Esscher; transform; Exponential; distribution; Extreme; value; theory; GH; process; GZ; process; Infinitely; divisible; distribution; Lévy; process; Long-tailed; distribution; Semi-heavy-tailed; distribution; Subexponential; distribution (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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