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 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.

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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