Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156307 | Stochastic Processes and their Applications | 2009 | 24 Pages |
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.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
J.M.P. Albin, Mattias Sundén,