On a class of Lévy processes

Michael Braverman

Statistics & Probability Letters, 2005, vol. 75, issue 3, 179-189

Abstract: A class of Lévy processes with exponentially decaying tails of Lévy measure are investigated. One of the results is that the probability tails of the supremum of the process over finite interval and of the value of the process at the right end of the interval have equivalent probability tails.

Keywords: Lévy; processes; Tails; Extremes (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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