Tail behavior of random products and stochastic exponentials
In this paper we study the distributional tail behavior of the solution to a linear stochastic differential equation driven by infinite variance [alpha]-stable Lévy motion. We show that the solution is regularly varying with index [alpha]. An important step in the proof is the study of a Poisson number of products of independent random variables with regularly varying tail. The study of these products merits its own interest because it involves interesting saddle-point approximation techniques.
Year of publication: |
2008
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Authors: | Cohen, Serge ; Mikosch, Thomas |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 118.2008, 3, p. 333-345
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Publisher: |
Elsevier |
Keywords: | Random product Stable process Stochastic differential equation Tail behavior |
Saved in:
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