Tail Probabilities of Subadditive Functionals of Lévy Processes
Tail Probabilities of Subadditive Functionals of Lévy Processes
复制标题
DOI：
10.1214/aoap/1015961156
复制
发表时间：
2002-02
影响因子：
1.8
通讯作者：
M. Braverman;T. Mikosch;G. Samorodnitsky
中科院分区：
文献类型：
--
作者：
M. Braverman;T. Mikosch;G. Samorodnitsky
研究了作用在Lévy过程样本路径上的次可加泛函分布的尾部行为。我们考虑的泛函有，粗略地说，下面的属性：只有过程中位于某条曲线上方的点对泛函的值有贡献。我们的假设将确保该过程最终低于曲线。我们的结果适用于破产概率，分布逗留时间曲线，最后击中时间和其他泛函。
We study the tail behavior of the distribution of certain subadditive functionals acting on the sample paths of Lévy processes. The functionals we consider have, roughly speaking, the following property: only the points of the process that lie above a certain curve contribute to the value of the functional. Our assumptions will make sure that the process ends up eventually below the curve. Our results apply to ruin probabilities, distributions of sojourn times over curves, last hitting times and other functionals.