English, Article, Journal or magazine article edition: On Moments and Tail Behaviors of Storage Processes Arturo Kohatsu; Makoto Yamazato

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Bookmark: http://trove.nla.gov.au/version/153112
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On Moments and Tail Behaviors of Storage Processes
Author
  • Arturo Kohatsu
  • Makoto Yamazato
Physical Description
  • preprint
Notes
  • We study the existence of moments and the tail behaviour of the densities of storage processes. We give sufficient conditions for existence and non-existence of moments using the integrability conditions of submultiplicative functions with respect to Lévy measures. Then, we study the asymptotical behavior of the tails of these processes using the concave or convex envelope of the release rate function.
  • Dam process, storage process, subordinator, submultiplicative functions, subexponentialiity
  • RePEc:upf:upfgen:673
Language
  • English
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