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2010 Ratio of the Tail of an Infinitely Divisible Distribution on the Line to that of its Lévy Measure
Toshiro Watanabe, Kouji Yamamuro
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Electron. J. Probab. 15: 44-74 (2010). DOI: 10.1214/EJP.v15-732

Abstract

A necessary and sufficient condition for the tail of an infinitely divisible distribution on the real line to be estimated by the tail of its Lévy measure is found. The lower limit and the upper limit of the ratio of the right tail of an infinitely divisible distribution to the right tail of its Lévy measure are estimated from above and below by reviving Teugels's classical method. The exponential class and the dominated varying class are studied in detail.

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Toshiro Watanabe. Kouji Yamamuro. "Ratio of the Tail of an Infinitely Divisible Distribution on the Line to that of its Lévy Measure." Electron. J. Probab. 15 44 - 74, 2010. https://doi.org/10.1214/EJP.v15-732

Information

Accepted: 12 January 2010; Published: 2010
First available in Project Euclid: 1 June 2016

zbMATH: 1193.60023
MathSciNet: MR2578382
Digital Object Identifier: 10.1214/EJP.v15-732

Subjects:
Primary: 60E07
Secondary: 60F99

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Vol.15 • 2010
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