Braverman, Michael - In: Stochastic Processes and their Applications 120 (2010) 4, pp. 541-573
Let X(t),t>=0,X(0)=0, be a Lévy process with a spectral Lévy measure [rho]. Assuming that and the right tail of [rho] is light, we show that in the presence of the Brownian component as u-->[infinity], while in the absence of a Brownian component these tails are not always comparable.