Suprema of compound Poisson processes with light tails
It is known that if the Lévy measure of a Lévy process X(t), 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1, is "heavy tailed", then the right tails of sup0[less-than-or-equals, slant]t[less-than-or-equals, slant]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.
Year of publication: |
2000
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Authors: | Braverman, Michael |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 90.2000, 1, p. 145-156
|
Publisher: |
Elsevier |
Keywords: | Tail behavior Lévy process Compound Poisson process |
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