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- W1995816589 abstract "Abstract Lévy-type stochastic integrals M = (M(t), t ≥ 0) are obtained by integrating suitable predictable mappings against Brownian motion B and an independent Poisson random measure N. We establish conditions under which teh right tails of M are of regular variation. In particular, we require that the intensity measure associated to N is the product of a regularly varying Lévy measure with Lebesgue measure. Both univariate and multivariate versions of the problem are considered." @default.
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- W1995816589 date "2005-05-01" @default.
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- W1995816589 title "Lévy-Type Stochastic Integrals with Regularly Varying Tails" @default.
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- W1995816589 doi "https://doi.org/10.1081/sap-200056692" @default.
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