Tail Behavior of Random Products and Stochastic Exponentials
نویسندگان
چکیده
In this paper we study the distributional tail behavior of the solution to a linear stochastic differential equation driven by infinite variance α-stable Lévy motion. We show that the solution is regularly varying with index α. An important step in the proof is the study of a Poisson number of products of independent random variables with regularly varying tail. The study of these products deserves its own interest because it involves interesting saddle-point approximation techniques.
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