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arXiv · 0902.1075

Extremes of Levy processes with light tails

Michael Braverman
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Abstract

We give conditions under which the tail probability of the supremum over unit interval of a Levy process with light tail is equivalent to the tail of the value of the process at the right endpoint.

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Michael Braverman. 2009-02-06. Extremes of Levy processes with light tails. https://arxiv.org/abs/0902.1075

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