Applebaum, D. (2005) Levy-type stochastic integrals with regularly varying tails. Stochastic Analysis and Applications, 23 (3). pp. 595-611. ISSN 0736-2994
Abstract
Levy-type stochastic integrals M = (M(t), t ≥ 0) are obtained by integrating suitable predictable mappings against Brownian motion B and an independent Poisson random measure N. We establish conditions under which teh right tails of M are of regular variation. In particular, we require that the intensity measure associated to N is the product of a regularly varying Lvy measure with Lebesgue measure. Both univariate and multivariate versions of the problem are considered.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2005 Taylor and Francis. This is an author produced version of a paper subsequently published in Stochastic Analysis and Applications. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Levy measure; Levy-type stochastic integral; Predictable mapping; Regular variation; Semimartingale |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Science (Sheffield) > School of Mathematics and Statistics (Sheffield) |
Depositing User: | Miss Anthea Tucker |
Date Deposited: | 30 Sep 2009 13:52 |
Last Modified: | 16 Nov 2015 11:48 |
Published Version: | http://dx.doi.org/10.1081/SAP-200056692 |
Status: | Published |
Publisher: | Taylor & Francis |
Refereed: | Yes |
Identification Number: | 10.1081/SAP-200056692 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:9795 |