Tail probabilities of subadditive functionals of Levy processes

• 成果类型: Article
• 署名作者: Braverman, M; Mikosch, T; Samorodnitsky, G
• 署名单位: Ben-Gurion University of the Negev; University of Copenhagen; Cornell University; Cornell University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2002
• 页码: 69-100
• 关键词: infinitely divisible processes

摘要

We study the tail behavior of the distribution of certain subadditive functionals acting on the sample paths of Levy processes. The functionals we consider have, roughly speaking, the following property: only the points of the process that lie above a certain curve contribute to the value of the functional. Our assumptions will make sure that the process ends up eventually below the curve. Our results apply to ruin probabilities, distributions of sojourn times over curves, last hitting times and other functionals.