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arXiv:0902.1075 [math.PR]AbstractReferencesReviewsResources

Extremes of Levy processes with light tails

Michael Braverman

Published 2009-02-06Version 1

We give conditions under which the tail probability of the supremum over unit interval of a Levy process with light tail is equivalent to the tail of the value of the process at the right endpoint.

Comments: 31 pages
Categories: math.PR, math.ST, stat.TH
Subjects: 60G17, 60E07
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