most citedExtremal behavior of stochastic integrals driven by regularly varying Lévy processes

40 citations · 40 across the 1 of their papers we have counts for

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1 paper

math.PR2007★ 40 cited

Extremal behavior of stochastic integrals driven by regularly varying Lévy processes

Henrik Hult, Filip Lindskog

We study the extremal behavior of a stochastic integral driven by a multivariate Lévy process that is regularly varying with index . For predictable integrands with a finite $…