Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156978 | Stochastic Processes and their Applications | 2008 | 13 Pages |
Abstract
In this paper we study the distributional tail behavior of the solution to a linear stochastic differential equation driven by infinite variance αα-stable Lévy motion. We show that the solution is regularly varying with index αα. 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 merits its own interest because it involves interesting saddle-point approximation techniques.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Serge Cohen, Thomas Mikosch,