Extremes of Levy processes with light tails

Details Extremes of Levy processes with light tails Extremes of Levy processes with light tails

2009-02-06

arxiv.org/abs/0902.1075v1

Mathematics

Probability

31 pages

Scientific paper

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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