کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156307 958819 2009 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes
چکیده انگلیسی

We study tail probabilities of the suprema of Lévy processes with subexponential or exponential marginal distributions over compact intervals. Several of the processes for which the asymptotics are studied here for the first time have recently become important to model financial time series. Hence our results should be important, for example, in the assessment of financial risk.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 1, January 2009, Pages 281–304
نویسندگان
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