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Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
Published online by Cambridge University Press: 24 March 2016
Abstract
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.
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- Copyright © Applied Probability Trust 2016
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