• Prof. Filip Lindskog – Department of Mathematics – Royal Institute of Technology – Stockholm
  • FCUL (DEIO) – Campo Grande – Bloco C/6 – Piso 4 – Sala 6.4.30 -14:30
  • Quinta-feira, 13 de Janeiro de 2005
We set up a framework for studying the extremal behavior of heavy-tailed stochastic processes. In this framework the concept of regular variation for a stochastic process with right-continuous sample path paths with left limits is essential, a concept introduced in de Haan and Lin (2001). We study the extremal behavior of various processes driven by a regularly varying Levy process (simply a Levy process satisfying that the process at some fixed time is a regularly varying random vector). Examples are filtered Levy processes and stochastic integrals with respect to a Levy process. We illustrate the results by simulations and comment on applications of the results.