Paper #673

Títol:

On moments and tail behaviors of storage processes

Autors:

Arturo Kohatsu i Makoto Yamazato

Data:

Abril 2003

Resum:

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.

Paraules clau:

Dam process, storage process, subordinator, submultiplicative functions, subexponentialiity

Codis JEL:

E22

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Journal of Applied Probability, 20, (2003), pp. 1069-1086

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