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Remarks on suprema of Lévy processes with light tailes

✍ Scribed by Michael Braverman

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
89 KB
Volume
43
Category
Article
ISSN
0167-7152

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✦ Synopsis

Let X (t); 06t61 be a LÃ evy process. A comparison between the right tail of sup 06t61 X (t) and the right tail of X (1) is considered. An example is given for which these tailes are incomparable. A class of LÃ evy process with "light" tails is described for which these tails have the same behavior.

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