Cramer's estimate for the exponential functional of a Levy process
概率论
2007-05-23 v1
摘要
We consider the exponential functional associated to a Levy process . We find the asymptotic behavior of the tail of this random variable, under some assumptions on the process , the main one being Cramer's condition, that asserts the existence of a real such that . Then there exists satisfying, when : This result can be applied for example to the process where stands for the stable subordinator of index (), and is a positive real (we have then ).
引用
@article{arxiv.math/0211409,
title = {Cramer's estimate for the exponential functional of a Levy process},
author = {Mejane Olivier},
journal= {arXiv preprint arXiv:math/0211409},
year = {2007}
}
备注
12 pages