Exact tail asymptotics of the supremum attained by a Lévy process

Authors
Publication date 2015
Journal Statistics & Probability Letters
Volume | Issue number 96 | 2015
Pages (from-to) 180-184
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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