Asymptotic behavior of the supremum tail probability for anomalous diffusions

In this paper we investigate asymptotic behavior of the tail probability for subordinated self-similar processes with regularly varying tail probability. We show that the tail probability of the one-dimensional distributions and the supremum tail probability are regularly varying with the pre-factor depending on the moments of the subordinating process. We can apply our result to the so-called anomalous diffusion.

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Year of publication:	2008
Authors:	Michna, Zbigniew
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 2, p. 413-417
Publisher:	Elsevier
Subject:	Continuous time random walk \| Subordinated process \| Anomalous diffusion \| Self-similar process \| α-stable Lévy process \| Tail probability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011063534