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Large Exceedances for Multidimensional Levy Processes
Authors
Dembo, Amir
Karlin, Samuel
Zeitouni, Ofer
Citation
Dembo, Amir et al., Large Exceedances for Multidimensional Levy Processes, Annals of applied probability , 4(2), 1994, pp. 432-447
Journal title
Annals of applied probability
→
ACNP
ISSN journal
10505164
Volume
4
Issue
2
Year of publication
1994
Pages
432 - 447
Database
ACNP
SICI code
Abstract
Three results on hitting a rare set by the increments of an Rd-valued random process with stationary independent increments are presented: the first time that it occurs, the duration of such a segment and the typical trajectory during the segment.