Exact tail asymptotics of the supremum attained by a Lévy process

N.M. Asghari, K. Dȩbicki and M. Mandjes

Statistics & Probability Letters, 2015, vol. 96, issue C, 180-184

Abstract: In this short communication we analyze the tail asymptotics corresponding to the maximum value attained by a Lévy process with negative drift. The note has two contributions: a short and elementary proof of these asymptotics, and an importance sampling algorithm to estimate the rare-event probabilities under consideration.

Keywords: Lévy processes; Second factorization identity; Tail asymptotics; Importance sampling (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:96:y:2015:i:c:p:180-184

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DOI: 10.1016/j.spl.2014.09.005

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