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Tail probabilities of subadditive functionals on stable processes with continuous and discrete time

For symmetric stable processes with negative drift and continuous or discrete time the probabilistic tails of the subadditive functionals, acting on sample paths, are investigated. We prove a general result and applying it to examples show how the rate of decay can vary. The proof is based on the series representation of stable processes.
Year of publication:
2004
Authors: Braverman, Michael
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 112.2004, 1, p. 157-183
Publisher: Elsevier
Subject: Subadditive functional Stable process Asymptotics
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008872719
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