Suprema of compound Poisson processes with light tails

Michael Braverman

Stochastic Processes and their Applications, 2000, vol. 90, issue 1, 145-156

Abstract: It is known that if the Lévy measure of a Lévy process X(t), 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1, is "heavy tailed", then the right tails of sup0[less-than-or-equals, slant]t[less-than-or-equals, slant]1X(t) and X(1) are of the same rate of decay. One of the results of this note is a description of a class of compound Poisson processes with negative drift and "light" tails (which is a subclass of Lévy processes) such that these tails are incomparable.

Keywords: Tail; behavior; Lévy; process; Compound; Poisson; process (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (4)

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