Extremal behavior of regularly varying stochastic processes
نویسندگان
چکیده
منابع مشابه
Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
We study the extremal behavior of a stochastic integral driven by a multivariate Lévy process that is regularly varying with index α > 0. For predictable integrands with a finite (α + δ)-moment, for some δ > 0, we show that the extremal behavior of the stochastic integral is due to one big jump of the driving Lévy process and we determine its limit measure associated with regular variation on t...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2005
ISSN: 0304-4149
DOI: 10.1016/j.spa.2004.09.003