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Cramers estimate for a reflected Levy process

Doney, R A; Maller, Ross


The natural analogue for a Lévy process of Cramér's estimate for a reflected random walk is a statement about the exponential rate of decay of the tail of the characteristic measure of the height of an excursion above the minimum. We establish this esti

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
Source: The Annals of Probability


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