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.
Publié le : 2002-02-14
Classification:
Ruin probability,
heavy tails,
supremum,
negative drift,
risk,
subadditive functional,
sojourn time,
last hitting time,
Lévy process,
60E07,
60K30,
60G10
@article{1015961156,
author = {Braverman, Michael and Mikosch, Thomas and Samorodnitsky, Gennady},
title = {Tail Probabilities of Subadditive Functionals of L\'evy
Processes},
journal = {Ann. Appl. Probab.},
volume = {12},
number = {1},
year = {2002},
pages = { 69-100},
language = {en},
url = {http://dml.mathdoc.fr/item/1015961156}
}
Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady. Tail Probabilities of Subadditive Functionals of Lévy
Processes. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp. 69-100. http://gdmltest.u-ga.fr/item/1015961156/