Tail Probabilities of Subadditive Functionals of Lévy Processes
نویسندگان
چکیده
منابع مشابه
Tail Probabilities of Subadditive Functionals
We study the tail behavior of the distribution of certain subadditive functionals acting on the sample paths of L evy processes. The functionals we consider have, roughly speaking, the following property: only the points of the process that lie above a certain curve contribute to the value of the functional. Our assumptions will make sure that the process ends up eventually below the curve. Our...
متن کاملTail Probabilities of Subadditive Functionals of Lévy Processes1 by Michael Braverman2, Thomas Mikosch
We study the tail behavior of the distribution of certain subadditive functionals acting on the sample paths of Lévy processes. The functionals we consider have, roughly speaking, the following property: only the points of the process that lie above a certain curve contribute to the value of the functional. Our assumptions will make sure that the process ends up eventually below the curve. Our ...
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Let X = (Xt )t∈S be a real-valued Gaussian random process indexed by S with mean zero. General upper and lower estimates are given for the lower tail probability P(supt∈S(Xt − Xt0) ≤ x) as x → 0, with t0 ∈ S fixed. In particular, sharp rates are given for fractional Brownian sheet. Furthermore, connections between lower tail probabilities for Gaussian processes with stationary increments and le...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2002
ISSN: 1050-5164
DOI: 10.1214/aoap/1015961156