On suprema of Lévy processes with light tails

Michael Braverman

Stochastic Processes and their Applications, 2010, vol. 120, issue 4, 541-573

Abstract: Let X(t),t>=0,X(0)=0, be a Lévy process with a spectral Lévy measure [rho]. Assuming that and the right tail of [rho] is light, we show that in the presence of the Brownian component as u-->[infinity], while in the absence of a Brownian component these tails are not always comparable.

Keywords: Poisson; process; Brownian; motion; Supremum (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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