Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
Research output: Contribution to journal › Journal article › Research › peer-review
We consider a continuous, infinitely divisible random field in Rd given as an integral of a kernel function with respect to a Lévy basis with convolution equivalent Lévy measure. For a large class of such random fields we compute the asymptotic probability that the supremum of the field exceeds the level x as x → ∞. Our main result is that the asymptotic probability is equivalent to the right tail of the underlying Lévy measure.
Original language | English |
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Journal | Journal of Applied Probability |
Volume | 53 |
Issue number | 1 |
Pages (from-to) | 244-261. |
ISSN | 0021-9002 |
DOIs | |
Publication status | Published - 2016 |
ID: 137321051