Tail asymptotics for exponential functionals of Levy processes

被引：83
|
作者：
Maulik, K
Zwart, B
机构：
[1] Eindhoven Univ Technol, Dept Math & Comp Sci, NL-5600 MB Eindhoven, Netherlands
[2] CWI, NL-1090 GB Amsterdam, Netherlands
[3] Eurandom, NL-5600 MB Eindhoven, Netherlands
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2006年 / 116卷 / 02期
关键词：
Breiman's theorem; perpetuities; subexponential distributions; mellin transforms; Tauberian theorems;
D O I：
10.1016/j.spa.2005.09.002
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Motivated by recent studies in financial mathematics and other areas, we investigate the exponential functional Z = integral(infinity)(o) e(-X(t))dt of a Levy process X(t), t >= 0. In particular, we investigate its tail asymptotics. We show that, depending on the right tail of X(1), the tail behavior of Z is exponential, Pareto, or extremely heavy-tailed. (C) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：156 / 177
页数：22
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