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Sharp estimates on the tail behavior of a multistable distribution

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  • Ayache, Antoine

Abstract

Multistable stochastic integrals on R, have been introduced quite recently in Falconer and Liu (2012); they are defined through their characteristic functions. Roughly speaking, in a neighborhood of an arbitrary point x∈R, such an integral can be viewed as a usual stable stochastic integral, with a stability parameter α(x) depending on the location x.

Suggested Citation

  • Ayache, Antoine, 2013. "Sharp estimates on the tail behavior of a multistable distribution," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 680-688.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:3:p:680-688
    DOI: 10.1016/j.spl.2012.11.016
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    Cited by:

    1. Ronan Le Guével & Jacques Lévy Véhel & Lining Liu, 2015. "On Two Multistable Extensions of Stable Lévy Motion and Their Semi-martingale Representations," Journal of Theoretical Probability, Springer, vol. 28(3), pages 1125-1144, September.
    2. Le Guével, R. & Lévy Véhel, J., 2020. "Hausdorff, large deviation and Legendre multifractal spectra of Lévy multistable processes," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 2032-2057.
    3. R. Guével, 2019. "The Hausdorff dimension of the range of the Lévy multistable processes," Journal of Theoretical Probability, Springer, vol. 32(2), pages 765-780, June.

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