- Exact tail asymptotics of the supremum attained by a Lévy process
- Statistics & Probability Letters
- Volume | Issue number
- 96 | 2015
- Pages (from-to)
- Document type
- Faculty of Science (FNWI)
- Korteweg-de Vries Institute for Mathematics (KdVI)
- In this short communication we analyze the tail asymptotics corresponding to the maximum value attained by a Lévy process
with negative drift. The note has two contributions: a short and elementary proof of these asymptotics, and an importance
sampling algorithm to estimate the rare-event probabilities under consideration.
- go to publisher's site
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.