On moments and tail behaviors of storage processes
AbstractWe 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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Bibliographic InfoPaper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 673.
Date of creation: Apr 2003
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Web page: http://www.econ.upf.edu/
Dam process; storage process; subordinator; submultiplicative functions; subexponentialiity;
Find related papers by JEL classification:
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-26 (All new papers)
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- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
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