| Issue |
ESAIM: PS
Volume 27, 2023
|
|
|---|---|---|
| Page(s) | 810 - 840 | |
| DOI | https://doi.org/10.1051/ps/2023015 | |
| Published online | 11 October 2023 | |
On the Asymptotic Behaviour of Superexponential Lévy Processes
1
Mathematical Sciences, Chalmers University of Technology, 412 96 Gothenburg, Sweden
2
Department of Economics, University of Gothenburg, 405 30 Gothenburg, Sweden
* Corresponding author: palbin@chalmers.se
Received:
22
April
2021
Accepted:
1
July
2023
We study tail probabilities of superexponential infinite divisible distributions as well as tail probabilities of suprema of Lévy processes with superexponential marginal distributions over compact intervals.
Mathematics Subject Classification: 60E07 / 60E10 / 60G51 / 60G70
Key words: Extreme value theory / infinitely divisible distributions / Lévy processes / superexponential distributions
© The authors. Published by EDP Sciences, SMAI 2023
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