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
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
Journal title :
Stochastic Processes and their Applications