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On the asymptotic behaviour of L\'evy processes, Part I: Subexponential and exponential processes

Patrik Albin (Institutionen för matematiska vetenskaper, matematisk statistik) ; Mattias Sundén (Institutionen för matematiska vetenskaper, matematisk statistik)
Stochastic Processes and their Applications (03044149). Vol. 119 (2009), 1, p. 281-304.
[Artikel, refereegranskad vetenskaplig]

We study tail probabilities of suprema of L\'evy processes with subexponential or exponential marginal distributions over compact intervals. Several of the processes for which the asymptotics are studied here for the first time have recently become important to model financial time series. Hence our results should be important, for example, in the assessment of financial risk.

Nyckelord: CGMY process; Esscher transform; Exponential distribution; Extreme value theory; GH process; GZ process; Infinitely divisible distribution; Lévy process; Long-tailed distribution; Semi-heavy-tailed distribution; Subexponential distribution



Denna post skapades 2009-09-15. Senast ändrad 2016-07-21.
CPL Pubid: 98086

 

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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematisk statistik (2005-2016)

Ämnesområden

Matematisk statistik

Chalmers infrastruktur