Levy-type stochastic integrals with regularly varying tails

Applebaum, D. (2005) Levy-type stochastic integrals with regularly varying tails. Stochastic Analysis and Applications, 23 (3). pp. 595-611. ISSN 0736-2994

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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.

Item Type:	Article
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
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:	08 Feb 2013 16:59
Published Version:	http://dx.doi.org/10.1081/SAP-200056692
Status:	Published
Publisher:	Taylor & Francis
Refereed:	Yes
Identification Number:	10.1081/SAP-200056692
URI:	http://eprints.whiterose.ac.uk/id/eprint/9795

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