Abstract
In this short communication we analyze the tail asymptotics corresponding to the maximum value attained by a Lévy process with negative drift. The note has two contributions: a short and elementary proof of these asymptotics, and an importance sampling algorithm to estimate the rare-event probabilities under consideration.
Keywords: Lévy processes; Second factorization identity; Tail asymptotics; Importance sampling
Original language | English |
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Pages (from-to) | 180-184 |
Journal | Statistics and Probability Letters |
Volume | 96 |
DOIs | |
Publication status | Published - 2015 |