NDLI: Lévy-Type Stochastic Integrals with Regularly Varying Tails

Content Provider	Scilit
Author	Applebaum, David
Copyright Year	2005
Description	Journal: Stochastic Analysis and Applications Lévy-type stochastic integrals M = (M(t), t ≥ 0) are obtained by integrating suitable predictable mappings against Brownian motion B and an independent Poisson random measure N. We establish conditions under which teh right tails of M are of regular variation. In particular, we require that the intensity measure associated to N is the product of a regularly varying Lévy measure with Lebesgue measure. Both univariate and multivariate versions of the problem are considered.
Related Links	http://eprints.whiterose.ac.uk/9795/1/Applebaum10.pdf
Ending Page	611
Page Count	17
Starting Page	595
ISSN	07362994
e-ISSN	15329356
DOI	10.1081/sap-200056692
Journal	Stochastic Analysis and Applications
Issue Number	3
Volume Number	23
Language	English
Publisher	Informa UK Limited
Publisher Date	2005-05-01
Access Restriction	Open
Subject Keyword	Journal: Stochastic Analysis and Applications Mathematical Physics Regularly Varying Varying Tails Type Stochastic Integrals
Content Type	Text
Subject	Applied Mathematics Statistics and Probability Statistics, Probability and Uncertainty

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