The supremum of a process with stationary independent and symmetric increments

Simeon M. Berman

Stochastic Processes and their Applications, 1986, vol. 23, issue 2, 281-290

Abstract: Let Xt, t [greater-or-equal, slanted] 0, be a process with stationary independent and symmetric increments. If the tail of the Lévy spectral measure in the representation of the characteristic function is of regular variation of index -[alpha], for some 0 u) ~ P(Xt, > u), for u --> [infinity],for each t > 0.

Keywords: Independent; increments; *; supremum; distribution; *; regular; variation; *; sojourn; above; high; level (search for similar items in EconPapers)
Date: 1986
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Citations: View citations in EconPapers (8)

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