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April, 1993 Distributions of Subadditive Functionals of Sample Paths of Infinitely Divisible Processes
Jan Rosinski, Gennady Samorodnitsky
Ann. Probab. 21(2): 996-1014 (April, 1993). DOI: 10.1214/aop/1176989279

Abstract

Subadditive functionals on the space of sample paths include suprema, integrals of paths, oscillation on sets and many others. In this paper we find an optimal condition which ensures that the distribution of a subadditive functional of sample paths of an infinitely divisible process belongs to the subexponential class of distributions. Further, we give exact tail behavior for the distributions of such functionals, thus improving many recent results obtained for particular forms of subadditive functionals and for particular infinitely divisible processes.

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Jan Rosinski. Gennady Samorodnitsky. "Distributions of Subadditive Functionals of Sample Paths of Infinitely Divisible Processes." Ann. Probab. 21 (2) 996 - 1014, April, 1993. https://doi.org/10.1214/aop/1176989279

Information

Published: April, 1993
First available in Project Euclid: 19 April 2007

zbMATH: 0776.60049
MathSciNet: MR1217577
Digital Object Identifier: 10.1214/aop/1176989279

Subjects:
Primary: 60G07
Secondary: 60E07 , 60G57 , 60H05

Keywords: infiniely divisible processes , Stable processes , Subexponential distributions , tail behavior of the distributions of functionals of sample paths

Rights: Copyright © 1993 Institute of Mathematical Statistics

Vol.21 • No. 2 • April, 1993
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