Extremal behavior of stochastic integrals driven by regularly varying Levy processes
成果类型：
Article
署名作者：
Hult, Henrik; Lindskog, Filip
署名单位：
Brown University; Royal Institute of Technology
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/009117906000000548
发表日期：
2007
页码：
309-339
关键词：
摘要：
We study the extremal behavior of a stochastic integral driven by a multivariate Levy process that is regularly varying with index alpha > 0. For predictable integrands with a finite (alpha + delta)-moment, for some delta > 0, we show that the extremal behavior of the stochastic integral is due to one big jump of the driving Levy process and we determine its limit measure associated with regular variation on the space of cadlag functions.