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On moments and tail behaviors of storage processes

  • Arturo Kohatsu-Higa (a1) and Makoto Yamazato (a2)

Abstract

We study the existence of moments and the tail behavior of the densities of storage processes. We give sufficient conditions for existence and nonexistence of moments using the integrability conditions of submultiplicative functions with respect to Lévy measures. We then study the asymptotical behavior of the tails of these processes using the concave or convex envelope of the release rate function.

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Corresponding author

Postal address: Department of Economics, Universitat Pompeu Fabra, Ramón Trias Fargas, 25–27, 08005 Barcelona, Spain. Email address: kohatsu@upf.es
∗∗ Postal address: Department of Mathematics, Faculty of Science, University of the Ryukyus, Senbaru1, Nishihara-cho, Okinawa, Japan 903-0213.

References

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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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