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In this work we give a complete description to the asymptotic behaviors of exponential functionals of L\'evy processes and divide them into five different types according to their convergence rates. Not only their exact convergence speeds…

Probability · Mathematics 2016-02-09 Zenghu Li , Wei Xu

We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a L\'evy process, both with negative drift, over random time horizon $\tau$ that does not depend on the…

Probability · Mathematics 2024-10-07 Sergey Foss , Dmitry Korshunov , Zbigniew Palmowski

We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…

Probability · Mathematics 2016-03-24 Ron Doney , Claudia Klüppelberg , Ross Maller

This paper addresses heavy-tailed large deviation estimates for the distribution tail of functionals of a class of spectrally one-sided L\'evy process. Our contribution is to show that these estimates remain valid in a near-critical regime.…

Probability · Mathematics 2017-02-03 Bart Kamphorst , Bert Zwart

Let $\xi=(\xi_t, t\ge 0)$ be a real-valued L\'evy process and define its associated exponential functional as follows \[ I_t(\xi):=\int_0^t \exp\{-\xi_s\}{\rm d} s, \qquad t\ge 0. \] Motivated by important applications to stochastic…

Probability · Mathematics 2016-06-27 Sandra Palau , Juan Carlos Pardo , Charline Smadi

We investigate the upper tail probabilities of the all-time maximum of a stable L\'evy process with a power negative drift. The asymptotic behaviour is shown to be exponential in the spectrally negative case and polynomial otherwise, with…

Probability · Mathematics 2018-06-05 Christophe Profeta , Thomas Simon

In this paper, we study the speed of extinction of continuous state branching processes in subcritical L\'evy environments. More precisely, when the associated L\'evy process to the environment drifts to $-\infty$ and, under a suitable…

Probability · Mathematics 2023-02-20 Natalia Cardona-Tobón , Juan Carlos Pardo

We study subexponential tail asymptotics for the distribution of the maximum $M_t:=\sup_{u\in[0,t]}X_u$ of a process $X_t$ with negative drift for the entire range of $t>0$. We consider compound renewal processes with linear drift and…

Probability · Mathematics 2016-11-22 Dmitry Korshunov

In this manuscript, we continue with the systematic study of the speed of extinction of continuous state branching processes in L\'evy environments under more general branching mechanisms. Here, we deal with the weakly subcritical regime…

Probability · Mathematics 2023-02-20 Natalia Cardona-Tobón , Juan Carlos Pardo

We study the speed of extinction of continuous state branching processes in a L\'evy environment, where the associated L\'evy process oscillates. Assuming that the L\'evy process satisfies the Spitzer's condition and the existence of some…

Probability · Mathematics 2021-07-26 Vincent Bansaye , Juan Carlos Pardo , Charline Smadi

We study a first passage time of a L\'evy process over a positive constant level. In the spectrally negative case we give conditions for absolutely continuity of the distributions of the first passage times. The tail asymptotics of their…

Probability · Mathematics 2023-03-16 Shunsuke Kaji , Muneya Matsui

In this paper, we establish the precise asymptotic behaviors of the tail probability and the transition density of a large class of isotropic L\'evy processes when the scaling order is between 0 and 2 including 2. We also obtain the precise…

Probability · Mathematics 2017-08-30 Panki Kim , Ante Mimica

We obtain sample-path large deviations for a class of one-dimensional stochastic differential equations with bounded drifts and heavy-tailed L\'evy processes. These heavy-tailed L\'evy processes do not satisfy the exponential integrability…

Probability · Mathematics 2023-09-15 Wei Wei , Qiao Huang , Jinqiao Duan

This paper provides a detailed description for the asymptotics of exponential functionals of random walks with light/heavy tails. We give the convergence rate based on the key observation that the asymptotics depends on the sample paths…

Probability · Mathematics 2025-04-29 Wei Xu

The reflected process of a random walk or L\'evy process arises in many areas of applied probability, and a question of particular interest is how the tail of the distribution of the heights of the excursions away from zero behaves…

Probability · Mathematics 2017-08-09 R. A. Doney , Philip S. Griffin

We consider a branching Markov process in continuous time in which the particles evolve independently as spectrally negative L\'evy processes. When the branching mechanism is critical or subcritical, the process will eventually die and we…

Probability · Mathematics 2022-11-23 Christophe Profeta

We study large deviations asymptotics for a class of unbounded additive functionals, interpreted as normalized accumulated areas, of one-dimensional Langevin diffusions with sub-linear gradient drifts. Our results provide parametric…

Probability · Mathematics 2023-10-23 Mihail Bazhba , Jose Blanchet , Roger J. A. Laeven , Bert Zwart

In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…

Probability · Mathematics 2016-10-17 Andreas Basse-O'Connor , Claudio Heinrich , Mark Podolskij

The main purpose of this chapter is to present some theoretical aspects of parametric estimation of L\'evy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of…

Statistics Theory · Mathematics 2014-09-02 Hiroki Masuda

We study the large-time asymptotic of renewal-reward processes with a heavy-tailed waiting time distribution. It is known that the heavy tail of the distribution produces an extremely slow dynamics, resulting in a singular large deviation…

Mathematical Physics · Physics 2022-01-05 Hiroshi Horii , Raphael Lefevere , Takahiro Nemoto
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