Extremes of Levy processes with light tails
Probability
2009-02-09 v1 Statistics Theory
Statistics Theory
Abstract
We give conditions under which the tail probability of the supremum over unit interval of a Levy process with light tail is equivalent to the tail of the value of the process at the right endpoint.
Keywords
Cite
@article{arxiv.0902.1075,
title = {Extremes of Levy processes with light tails},
author = {Michael Braverman},
journal= {arXiv preprint arXiv:0902.1075},
year = {2009}
}
Comments
31 pages