Cramér's estimate for stable processes with power drift

2018/06/03 by Profeta, Christophe, Simon, Thomas
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1806.00745

Abstract

We investigate the upper tail probabilities of the all-time maximum of a stable Lévy process with a power negative drift. The asymptotic behaviour is shown to be exponential in the spectrally negative case and polynomial otherwise, with explicit exponents and constants. Analogous results are obtained, at a less precise level, for the fractionally integrated stable Lévy process. We also study the lower tail probabilities of the integrated stable Lévy process in the presence of a power positive drift.

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