Exact tail asymptotics of the supremum attained by a Lévy process

In this short communication we analyze the tail asymptotics corresponding to the maximum value attained by a Lévy process with negative drift. The note has two contributions: a short and elementary proof of these asymptotics, and an importance sampling algorithm to estimate the rare-event probabilities under consideration.

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Year of publication:	2015
Authors:	Asghari, N.M. ; Dȩbicki, K. ; Mandjes, M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 96.2015, C, p. 180-184
Publisher:	Elsevier
Subject:	Lévy processes \| Second factorization identity \| Tail asymptotics \| Importance sampling

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

Persistent link: https://www.econbiz.de/10011115946