On moments and tail behaviors of storage processes

We study the existence of moments and the tail behaviour of the densities of storage processes. We give sufficient conditions for existence and non-existence of moments using the integrability conditions of submultiplicative functions with respect to Lévy measures. Then, we study the asymptotical behavior of the tails of these processes using the concave or convex envelope of the release rate function.

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Year of publication:	2003-04
Authors:	Kohatsu, Arturo ; Yamazato, Makoto
Institutions:	Department of Economics and Business, Universitat Pompeu Fabra
Subject:	Dam process \| storage process \| subordinator \| submultiplicative functions \| subexponentialiity

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	E22 - Capital; Investment (including Inventories); Capacity
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005772163