Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure

نویسندگان

  • Anders Rønn-Nielsen
  • Eva Bjørn Vedel Jensen
چکیده

We consider a continuous, infinitely divisible random field in Rd given as an integral of a kernel function with respect to a Lévy basis with convolution equivalent Lévy measure. For a large class of such random fields we compute the asymptotic probability that the supremum of the field exceeds the level x as x→∞. Our main result is that the asymptotic probability is equivalent to the right tail of the underlying Lévy measure.

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عنوان ژورنال:
  • J. Applied Probability

دوره 53  شماره 

صفحات  -

تاریخ انتشار 2016