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On the Extreme Flights of One-Sided Levy Processes

Iddo Eliazar·Joseph klafter
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Abstract

We explore the statistical behavior of the order statistics of the flights of One-sided Levy Processes (OLPs). We begin with the study of the extreme flights of general OLPs,and then focus on the class of selfsimilar processes,investigating the following issues:(i)the inner hierarchy of the extreme flights - for example:how big is the 7th largest flight relative to the 2nd largest one?; and,(ii)the relative contribution of the extreme flights to the entire 'flight aggregate' - for example: how big is the 3rd largest flight relative to the OLP's value?. Furthermore, we show that all 'hierarchical' results obtained - but not the 'aggregate' results - are explicitly extendable to the class of OLPs with arbitrary power-law flight tails (which is far larger than the selfsimilar class).

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Iddo Eliazar, Joseph klafter. 2003-07-13. On the Extreme Flights of One-Sided Levy Processes. https://doi.org/10.1016/j.physa.2003.08.024

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