| Authors |
|
| Publication date |
2015
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| Journal |
Statistics & Probability Letters
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| Volume | Issue number |
96 | 2015
|
| Pages (from-to) |
180-184
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| Organisations |
-
Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
|
| Abstract |
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.
|
| Document type |
Article
|
| Language |
English
|
| Published at |
https://doi.org/10.1016/j.spl.2014.09.005
|
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