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On infinitely divisible distributions with light tails of Lévy measures

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  • Braverman, Michael

Abstract

We show that if the tail of a Lévy measure is light, then the same holds for the tail of the corresponding infinitely divisible distribution.

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  • Braverman, Michael, 2011. "On infinitely divisible distributions with light tails of Lévy measures," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1648-1653, November.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:11:p:1648-1653
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    References listed on IDEAS

    as
    1. Braverman, Michael, 2010. "On suprema of Lévy processes with light tails," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 541-573, April.
    2. Braverman, Michael, 2000. "Suprema of compound Poisson processes with light tails," Stochastic Processes and their Applications, Elsevier, vol. 90(1), pages 145-156, November.
    3. Xavier Gabaix, 2009. "Power Laws in Economics and Finance," Annual Review of Economics, Annual Reviews, vol. 1(1), pages 255-294, May.
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