Extremes of Levy processes with light tails

2009/02/06 by Michael Braverman, Braverman, Michael
Economics, Econometrics and Finance · Mathematics · #60E07 #60G17 #Complex Systems and Time Series Analysis #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR #math.ST #msc:60E07 #msc:60G17 #stat.TH

paper · pdf · doi:10.48550/arxiv.0902.1075

31 pages

arxiv created 2009/02/06 · openalex publication_date 2009/02/06 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We give conditions under which the tail probability of the supremum over unit interval of a Levy process with light tail is equivalent to the tail of the value of the process at the right endpoint.

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