Extremes of subexponential Lévy driven moving average processes

Vicky Fasen

doi:10.1016/j.spa.2006.01.001

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Extremes of subexponential Lévy driven moving average processes

Vicky Fasen

Year: 2006 Journal: Stochastic Processes and their Applications Vol: 116 (7)Pages: 1066-1087 Publisher: Elsevier BV

DOI: 10.1016/j.spa.2006.01.001

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Keywords:

Gumbel distribution Mathematics Maxima Limit (mathematics) Domain (mathematical analysis) Distribution (mathematics) Extreme value theory Stationary point Function (biology) Combinatorics Weak convergence Stationary process Mathematical analysis Applied mathematics Statistics

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Probability and Risk Models

Social Sciences → Decision Sciences → Management Science and Operations Research

Stochastic processes and statistical mechanics

Physical Sciences → Mathematics → Mathematical Physics

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Extremes of subexponential Lévy driven moving average processes

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