Paper #673

Title:

On moments and tail behaviors of storage processes

Authors:

Arturo Kohatsu and Makoto Yamazato

Date:

April 2003

Abstract:

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 L�vy measures. Then, we study the asymptotical behavior of the tails of these processes using the concave or convex envelope of the release rate function.

Keywords:

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

JEL codes:

E22

Area of Research:

Statistics, Econometrics and Quantitative Methods

Published in:

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

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