On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes
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- Braverman, Michael, 2010. "On suprema of Lévy processes with light tails," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 541-573, April.
- Saulius Paukštys & Jonas Šiaulys & Remigijus Leipus, 2023. "Truncated Moments for Heavy-Tailed and Related Distribution Classes," Mathematics, MDPI, vol. 11(9), pages 1-15, May.
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Keywords
CGMY process Esscher transform Exponential distribution Extreme value theory GH process GZ process Infinitely divisible distribution Lévy process Long-tailed distribution Semi-heavy-tailed distribution Subexponential distribution;Statistics
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