Tail probabilities of subadditive functionals of Lévy processes

Annals of Applied Probability

Volumn 12, Issue 1, 2002, Pages 69-100

  Braverman, Michael ^a   Mikosch, Thomas ^b   Samorodnitsky, Gennady ^c  

^a BEN GURION UNIVERSITY OF THE NEGEV   (Israel)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

^c Cornell University   (United States)

Author keywords

Heavy tails; Last hitting time; L vy process; Negative drift; Risk; Ruin probability; Sojourn time; Subadditive functional; Supremum

Indexed keywords

EID: 0036113450     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1015961156     Document Type: Article

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