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https://doi.org/10.2139/ssrn.5...
Article . 2025 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2025
License: arXiv Non-Exclusive Distribution
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ASYMPTOTICS OF SURVIVAL PROBABILITIES AND LOWER TAIL PROBABILITY PROBLEM

Authors: Boyarchenko, Svetlana; Levendorskiĭ, Sergei;

ASYMPTOTICS OF SURVIVAL PROBABILITIES AND LOWER TAIL PROBABILITY PROBLEM

Abstract

The present paper is an addendum to the paper ``Lévy models amenable to efficient calculations", where we introduced a general class of Stieltjes-Lévy processes (SL-processes) and signed SL processes defined in terms of certain Stieltjes-Lévy measures. We demonstrated that SL-processes enjoyed all properties that we used earlier to develop efficient methods for evaluation of expectations of functions of a Lévy process and its extremum processes, and proved that essentially all popular classes of Lévy processes are SL-processes; sSL-processes fail to possess one important property. In the present paper, we use the properties of (s)SL-processes to derive new formulas for the Wiener-Hopf factors $ϕ^\pm_q$ for small $q$ in terms of the absolute continuous components of SL-measures and their densities, and calculate the leading terms of the survival probability also in terms of the absolute continuous components of SL-measures and their densities. The lower tail probability is calculated for more general classes of SINH-regular processes constructed earlier.

arXiv admin note: text overlap with arXiv:2207.02359

Related Organizations
Keywords

Probability (math.PR), FOS: Mathematics, Mathematics - Probability, 60G51, 60G52, 60-08, 65C05, 91G05, 91G20, 97M30

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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