Suprema and sojourn times of Lévy processes with exponential tails

We study the tail behaviour of the supremum of sample paths of Lévy process with exponential tail of the Lévy measure. Our approach is based on the theory of sojourn times developed by S. Berman. It allows us to compute the value of the limit of the ratio P(sup0<t<1 X(t) > x)/[varrho](x, [infinity]) as x --> [infinity], where [varrho] is the Lévy measure of the process.

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Year of publication:	1997
Authors:	Braverman, Michael
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 68.1997, 2, p. 265-283
Publisher:	Elsevier
Keywords:	Lévy process Exponential distributions Sojourn times

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

Persistent link: https://www.econbiz.de/10008873872