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Remarks on the absolute maximum of a Lévy process

Published online by Cambridge University Press:  14 July 2016

Mykola Bratiychuk*
Affiliation:
Silesian Technical University
*
Postal address: Instytut Matematyki, Kaszubska st. 23, 44-100 Gliwice, Poland. Email address: [email protected]

Abstract

Asymptotic behaviour of the distribution of the absolute maximum of a process with independent increments is studied depending on the properties of the Lévy measure of the process. Some applications to the risk process are also considered.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 2002 

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