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2018 On the supremum of products of symmetric stable processes
Christophe Profeta
Electron. Commun. Probab. 23: 1-13 (2018). DOI: 10.1214/18-ECP193

Abstract

We study the asymptotics, for small and large values, of the supremum of a product of symmetric stable processes. We show in particular that the lower tail exponent remains the same as for only one process, possibly up to some logarithmic terms. The proof relies on a path construction of stable bridges using last sign changes.

Citation

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Christophe Profeta. "On the supremum of products of symmetric stable processes." Electron. Commun. Probab. 23 1 - 13, 2018. https://doi.org/10.1214/18-ECP193

Information

Received: 11 May 2018; Accepted: 13 November 2018; Published: 2018
First available in Project Euclid: 18 December 2018

zbMATH: 07023483
MathSciNet: MR3896835
Digital Object Identifier: 10.1214/18-ECP193

Subjects:
Primary: 60G52, 60J65

JOURNAL ARTICLE
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