| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151575 | Statistics & Probability Letters | 2015 | 5 Pages |
Abstract
In this short communication we analyze the tail asymptotics corresponding to the maximum value attained by a Lévy process with negative drift. The note has two contributions: a short and elementary proof of these asymptotics, and an importance sampling algorithm to estimate the rare-event probabilities under consideration.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
N.M. Asghari, K. Dȩbicki, M. Mandjes,