Exact tail asymptotics of the supremum attained by a Lévy process
| Authors |
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| Publication date | 2015 |
| Journal | Statistics & Probability Letters |
| Volume | Issue number | 96 | 2015 |
| Pages (from-to) | 180-184 |
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| 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
(Final published version)
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