Open Access
Issue |
ESAIM: PS
Volume 27, 2023
|
|
---|---|---|
Page(s) | 810 - 840 | |
DOI | https://doi.org/10.1051/ps/2023015 | |
Published online | 11 October 2023 |
- J.M.P. Albin, Extremes of totally skewed stable motion. Stat. Probab. Lett. 16 (1993) 219–224. [CrossRef] [Google Scholar]
- J.M.P. Albin, A note on Rosenblatt distributions. Stat. Probab. Lett. 40 (1998) 83–91. [CrossRef] [Google Scholar]
- J.M.P. Albin and M. Sundén, On the asymptotic behaviour of Lévy processes. Part I: Subexponential and exponential processes. Stochastic Process. Appl. 119 (2009) 281–304. [CrossRef] [MathSciNet] [Google Scholar]
- J.M.P. Albin and H. Choi, A new proof of an old result by Pickands. Elect. Commun. Probab. 15 (2010) 339–345. [Google Scholar]
- A.A. Balkema, C. Klüppelberg and S.I. Resnick, Densities with Gaussian tails. Proc. London Math. Soc. 66 (1993) 568–588. [CrossRef] [Google Scholar]
- A.A. Balkema, C. Klüppelberg and S.I. Resnick, Limit laws for exponential families. Bernoulli 5 (1999) 951–968. [CrossRef] [MathSciNet] [Google Scholar]
- A.A. Balkema, C. Klüppelberg and S.I. Resnick, Domains of attraction of exponential families. Stochastic Process. Appl. 107 (2003) 83–103. [CrossRef] [MathSciNet] [Google Scholar]
- A.A. Balkema, C. Klüppelberg and U. Stadtmüller, Tauberian results for densities with Gaussian tails. J. London Math. Soc. 51 (1995) 383–400. [CrossRef] [MathSciNet] [Google Scholar]
- S. Berman, Sojourns and Extremes of Stochastic Processes. Chapman and Hall, London (1992). [Google Scholar]
- N.H. Bingham, C.M. Goldie and J.L. Teugels, Regular Variation. Cambridge University Press, Cambridge (1987). [CrossRef] [Google Scholar]
- M. Braverman, Remarks on suprema of Lévy processes with light tails. Statist. Probab. Lett. 43 (1999) 41–48. [CrossRef] [MathSciNet] [Google Scholar]
- M. Braverman, On a class of Lévy processes. Statist. Probab. Lett. 75 (2005) 179–189. [CrossRef] [MathSciNet] [Google Scholar]
- M. Braverman, On suprema of Lévy processes with light tails. Stochastic Process. Appl. 120 (2010) 541–573. [CrossRef] [MathSciNet] [Google Scholar]
- R.A. Davis and S.I. Resnick, Extremes of moving averages of random variables with finite endpoint. Ann. Probab. 19 (1991) 312–328. [CrossRef] [MathSciNet] [Google Scholar]
- J.L. Doob, Stochastic Processes. (Wiley, New York) (1953). [Google Scholar]
- A. Erdélyi, W. Magnus, F. Oberhettinger and F.G. Tricomi, Higher Transcendental Functions, Vol. I. McGraw-Hill, New York (1953). [Google Scholar]
- P.D. Feigin and E. Yashchin, On a strong Tauberian result. Z. Wahrsch. Verw. Gebiete 65 (1983) 35–48. [CrossRef] [MathSciNet] [Google Scholar]
- B. Fristedt, Sample functions of stochastic processes with stationary independent increments, in Advances in Probability, Vol. III, edited by P. Ney and S. Port. Marcel Dekker, New York (1974) 241–396. [Google Scholar]
- J. Hoffmann-Jørgensen, Probability with a View Towards Statistics. Chapman and Hall, London (1994). [CrossRef] [Google Scholar]
- I.A. Ibragimov and Yu.V. Linnik, Independent and Stationary Sequences of Random Variables. Wolters-Noordhoff Publishing, Groningen (1971). [Google Scholar]
- S.K. Kim, v Rachev, M.L. Bianchi and F.J. Fabozzi, Tempered stable and tempered infinitely divisible GARCH models. Technical report, Karlsruher Institut für Technologie (2011). [Google Scholar]
- M.R. Leadbetter, G. Lindgren and H. Rootzéen, Extremes and Related Properties of Random Sequences and Processes. Springer, New York (1983). [CrossRef] [Google Scholar]
- Ju.V. Linnik and I.V. Ostrovskiĭ, Decomposition of Random Variables and Vectors. American Mathematical Society, Providence (1977). [Google Scholar]
- R. Merton, Option pricing when underlying stock returns are discontinuous. J. Financial Econ. 3 (1976) 125–144. [CrossRef] [Google Scholar]
- J.L. Mijnheer, Properties of the sample functions of the completely asymmetric stable process. Z. Wahrsch. Verw. Gebiete 27 (1973) 153–170. [CrossRef] [Google Scholar]
- H. Rootzén, Extreme value theory for moving average processes. Ann. Probab. 14 (1986) 612–652. [MathSciNet] [Google Scholar]
- H. Rootzén, A ratio limit theorem for the tails of weighted sums. Ann. Probab. 15 (1987) 728–747. [MathSciNet] [Google Scholar]
- G. Samorodnitsky and M.S. Taqqu, Stable Non-Gaussian Processes: Stochastic Models with Infinite Variance. Chapman and Hall, London (1994). [Google Scholar]
- K. Sato, Lévy Processes and Infinitely Divisible Distributions. Cambridge University Press, Cambridge (1999). [Google Scholar]
- H. Scheffé, A useful convergence theorem for probability distributions. Ann. Math. Statist. 18 (1947) 434–438. [CrossRef] [Google Scholar]
- V.M. Zolotarev, One-dimensional Stable Distributions, Vol. 65 of “Translations of mathematical monographs”, American Mathematical Society. Translation from the original 1983 Russian edition (1986). [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.