Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Standard

Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure. / Rønn-Nielsen, Anders; Jensen, Eva B. Vedel.

I: Journal of Applied Probability, Bind 53, Nr. 1, 2016, s. 244-261.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Rønn-Nielsen, A & Jensen, EBV 2016, 'Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure', Journal of Applied Probability, bind 53, nr. 1, s. 244-261.. https://doi.org/10.1017/jpr.2015.22

APA

Rønn-Nielsen, A., & Jensen, E. B. V. (2016). Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure. Journal of Applied Probability, 53(1), 244-261.. https://doi.org/10.1017/jpr.2015.22

Vancouver

Rønn-Nielsen A, Jensen EBV. Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure. Journal of Applied Probability. 2016;53(1):244-261. https://doi.org/10.1017/jpr.2015.22

Author

Rønn-Nielsen, Anders ; Jensen, Eva B. Vedel. / Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure. I: Journal of Applied Probability. 2016 ; Bind 53, Nr. 1. s. 244-261.

Bibtex

@article{45f23f3b88ce451fa6abba7ff2fbd3e7,
title = "Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent L{\'e}vy measure",
abstract = "We consider a continuous, infinitely divisible random field in Rd given as an integral of a kernel function with respect to a L{\'e}vy basis with convolution equivalent L{\'e}vy 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 L{\'e}vy measure.",
author = "Anders R{\o}nn-Nielsen and Jensen, {Eva B. Vedel}",
year = "2016",
doi = "10.1017/jpr.2015.22",
language = "English",
volume = "53",
pages = "244--261.",
journal = "Journal of Applied Probability",
issn = "0021-9002",
publisher = "Applied Probability Trust",
number = "1",

}

RIS

TY - JOUR

T1 - Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure

AU - Rønn-Nielsen, Anders

AU - Jensen, Eva B. Vedel

PY - 2016

Y1 - 2016

N2 - 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.

AB - 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.

U2 - 10.1017/jpr.2015.22

DO - 10.1017/jpr.2015.22

M3 - Journal article

VL - 53

SP - 244-261.

JO - Journal of Applied Probability

JF - Journal of Applied Probability

SN - 0021-9002

IS - 1

ER -

ID: 137321051