On the Asymptotic Behaviour of Superexponential Lévy Processes
Artikel i vetenskaplig tidskrift, 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
Författare
Patrik Albin
Chalmers, Matematiska vetenskaper, Analys och sannolikhetsteori
Mattias Sunden
Göteborgs universitet
ESAIM - Probability and Statistics
1292-8100 (ISSN) 1262-3318 (eISSN)
Vol. 27 810-840Ämneskategorier
Sannolikhetsteori och statistik
DOI
10.1051/ps/2023015