Suprema of compound Poisson processes with light tails

被引：6

作者：

Braverman, M ^{[1
]}

机构：

[1] Ben Gurion Univ Negev, Dept Math & Comp Sci, IL-84105 Beer Sheva, Israel

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2000年 / 90卷 / 01期

关键词：

tail behavior; Levy process; compound Poisson process;

D O I：

10.1016/S0304-4149(00)00039-9

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：

It is known that if the Levy measure of a Levy process X(t), 0 less than or equal tot less than or equal to1 is "heavy tailed", then the right tails of sup(0 less than or equal tot less than or equal to1)X(t) and X(1) are of the same rate of decay. One of the results of this note is a description of a class of compound Poisson processes with negative drift and "light" tails (which is a subclass of Levy processes) such that these tails are incomparable. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：145 / 156

页数：12

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