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On moments and tail behaviors of storage processes
Kohatsu, Arturo; Yamazato, Makoto
Universitat Pompeu Fabra. Departament d'Economia i Empresa
We study the existence of moments and the tail behaviour of the densitiesof storage processes. We give sufficient conditions for existence andnon-existence of moments using the integrability conditions ofsubmultiplicative functions with respect to Lévy measures. Then, we studythe asymptotical behavior of the tails of these processes using the concaveor convex envelope of the release rate function.
2005-09-15
Statistics, Econometrics and Quantitative Methods
dam process
storage process
subordinator
submultiplicative functions
subexponentialiity
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