On the asymptotic behaviour of Levy processes, Part I: Subexponential and exponential processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:119

Article

Albin, J. M. R.¹  Sunden, Mattias¹ 

[1] Chalmers, S-41296 Gothenburg, Sweden

关键词: CGMY process;    Esscher transform;    Exponential distribution;    Extreme value theory;    GH process;    GZ process;    Infinitely divisible distribution;    Levy process;    Long-tailed distribution;    Semi-heavy-tailed distribution;    Subexponential distribution;   

DOI  :  10.1016/j.spa.2008.02.004

来源: Elsevier

【 摘 要 】

We study tail probabilities of the suprema of Levy 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. (C) 2008 Elsevier B.V. All rights reserved.

【 授权许可】

Free