• 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