Extremal behavior of stochastic integrals driven by regularly varying Levy processes

被引：25
|
作者：
Hult, Henrik [1 ]
Lindskog, Filip
机构：
[1] Brown Univ, Providence, RI 02912 USA
[2] KTH Stockholm, Stockholm, Sweden
来源：
ANNALS OF PROBABILITY | 2007年 / 35卷 / 01期
关键词：
regular variation; extreme values; stochastic integrals; Levy processes;
D O I：
10.1214/009117906000000548
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the extremal behavior of a stochastic integral driven by a multivariate Levy process that is regularly varying with index alpha > 0. For predictable integrands with a finite (alpha + delta)-moment, for some delta > 0, we show that the extremal behavior of the stochastic integral is due to one big jump of the driving Levy process and we determine its limit measure associated with regular variation on the space of cadlag functions.
引用
收藏
页码：309 / 339
页数：31
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