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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 29, Fasc. 2,
pages 309 - 320
 

A NOTE ON EXTREMES OF COMPOUND POISSON PROCESSES

Daniel Berend
Michael Braverman
Ilya Goldstein

Abstract: We investigate the conditions on a compound Poisson process (X(t))
      0<t<1  , under which the right tail of sup0<t<1X(t) is equivalent to the tail of X(1) . New examples for which this relation does not hold are given.

2000 AMS Mathematics Subject Classification: Primary: 60E07, 60G10; Secondary: 60K30.

Keywords and phrases: Poisson processes, tails, extremes.

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