Lévy Processes with Regularly Varying Distributions: Where Do the Jumps Go?

Sidney Resnick
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Sidney Resnick: Cornell University, ORIE

Chapter Chapter 4 in The Art of Finding Hidden Risks, 2024, pp 121-148 from Springer

Abstract: Abstract This chapter, based on Lindskog et al. (Probab. Surv. 11:270–314, 2014), provides a function space example of steroidal regular variation of the distribution of a Lévy process, whose Lévy measure is regularly varying.

Date: 2024
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DOI: 10.1007/978-3-031-57599-0_4

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