Albin, J.M.P.; Sundén, Mattias - In: Stochastic Processes and their Applications 119 (2009) 1, pp. 281-304
We study tail probabilities of the suprema of Lévy processes with subexponential or exponential marginal distributions over compact intervals. Several of the processes for which the asymptotics are studied here for the first time have recently become important to model financial time series....
