Article ID Journal Published Year Pages File Type
1156307 Stochastic Processes and their Applications 2009 24 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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