Article ID Journal Published Year Pages File Type
1156978 Stochastic Processes and their Applications 2008 13 Pages PDF
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)
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