Title of article
Suprema of compound Poisson processes with light tails
Author/Authors
Braverman، نويسنده , , Michael، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
12
From page
145
To page
156
Abstract
It is known that if the Lévy measure of a Lévy process X(t), 0⩽t⩽1, is “heavy tailed”, then the right tails of sup0⩽t⩽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 , compound Poisson process , Lévy process
Journal title
Stochastic Processes and their Applications
Serial Year
2000
Journal title
Stochastic Processes and their Applications
Record number
1576716
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