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Title:
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On Moments and Tail Behaviors of Storage Processes
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Author:
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Kohatsu-Higa, Arturo; Yamazato, Makoto
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Other authors:
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Universitat Pompeu Fabra. Departament d'Economia i Empresa |
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Abstract:
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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. |
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Publication date:
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2005-09-15 |
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Subject(s):
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Dam process, storage process, subordinator, submultiplicative functions, subexponentialiity |
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Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
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Document type:
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Working Paper |
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