Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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.
Originalsprog | Engelsk |
---|---|
Tidsskrift | Journal of Applied Probability |
Vol/bind | 53 |
Udgave nummer | 1 |
Sider (fra-til) | 244-261. |
ISSN | 0021-9002 |
DOI | |
Status | Udgivet - 2016 |
ID: 137321051