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Cramer's estimate for the exponential functional of a Levy process
Mejane, Olivier
HAL, hal-00137997 / Harvested from HAL
We consider the exponential functional $A_{\infty}=\int_0^{\infty} e^{\xi_s} ds$ associated to a Levy process $(\xi_t)_{t \geq 0}$. We find the asymptotic behavior of the tail of this random variable, under some assumptions on the process $\xi$, the main one being Cramer's condition, that asserts the existence of a real $\chi >0$ such that ${\Bbb E}(e^{\chi \xi_1})=1$. Then there exists $C>0$ satisfying, when $t \to +\infty$ : $$ {\Bbb P} (A_{\infty}> t) \sim C t^{-\chi} \quad . $$ This result can be applied for example to the process $\xi_t = at - S_{\alpha}(t)$ where $S_{\alpha}$ stands for the stable subordinator of index $\alpha$ ($0 < \alpha < 1$), and $a$ is a positive real (we have then $\chi=a^{1/(\alpha -1)}$).
Publié le : 2002-11-26
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
@article{hal-00137997,
     author = {Mejane, Olivier},
     title = {Cramer's estimate for the exponential functional of a Levy process},
     journal = {HAL},
     volume = {2002},
     number = {0},
     year = {2002},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00137997}
}
Mejane, Olivier. Cramer's estimate for the exponential functional of a Levy process. HAL, Tome 2002 (2002) no. 0, . http://gdmltest.u-ga.fr/item/hal-00137997/