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Tail probabilities of subadditive functionals on stable processes with continuous and discrete time

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  • Braverman, Michael

Abstract

For symmetric stable processes with negative drift and continuous or discrete time the probabilistic tails of the subadditive functionals, acting on sample paths, are investigated. We prove a general result and applying it to examples show how the rate of decay can vary. The proof is based on the series representation of stable processes.

Suggested Citation

  • Braverman, Michael, 2004. "Tail probabilities of subadditive functionals on stable processes with continuous and discrete time," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 157-183, July.
    • Handle: RePEc:eee:spapps:v:112:y:2004:i:1:p:157-183
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    References listed on IDEAS

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    1. Braverman, Michael, 2002. "About boundedness of stable sequences," Stochastic Processes and their Applications, Elsevier, vol. 99(2), pages 287-293, June.
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