On the Asymptotic Behaviour of Superexponential Lévy Processes
Journal article, 2023
We study tail probabilities of superexponential infinite divisible distributions as well as tail probabilities of suprema of Lévy processes with superexponential marginal distributions over compact intervals.
Lévy processes
Superexponential distributions
Extreme value theory
Infinitely divisible distributions
Author
Patrik Albin
Chalmers, Mathematical Sciences, Analysis and Probability Theory
Mattias Sunden
University of Gothenburg
ESAIM - Probability and Statistics
1292-8100 (ISSN) 1262-3318 (eISSN)
Vol. 27 810-840Subject Categories
Probability Theory and Statistics
DOI
10.1051/ps/2023015