Tail probabilities of subadditive functionals on stable processes with continuous and discrete time
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modelling and Simulation,Statistics and Probability
Reference5 articles.
1. About boundedness of stable sequences;Braverman;Stochastic Process. Appl.,2002
2. Tail probabilities of subadditive functionals of Lévy processes;Braverman;Ann. Appl. Probab.,2002
3. Ruin probability with claims modeled by a stationary ergodic stable process;Mikosch;Ann. Probab.,2000
4. Distributions of subadditive functionals of sample paths of infinitely divisible processes;Rosiński;Ann. Probab.,1993
5. Stable Non-Gaussian Random Processes;Samorodnitsky,1994
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1. Tail Probability of the Supremum of a Random Walk with Stable Steps and a Nonlinear Negative Drift;Stochastic Models;2013-07-03
2. Heavy tails of a Lévy process and its maximum over a random time interval;Science China Mathematics;2011-08-04
3. Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes;Advances in Applied Probability;2009-09
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5. Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows;Scandinavian Actuarial Journal;2007-09
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