Summary: L´evy-type Stochastic Integrals with Regularly
Probability and Statistics Department,
University of Sheffield,
Hicks Building, Hounsfield Road,
Sheffield, England, S3 7RH
L´evy-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 the 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 L´evy measure with Lebesgue
measure. Both univariate and multivariate versions of the problem
Keywords and phrases: L´evy-type stochastic integral, predictable mapping,
semimartingale, regular variation, L´evy measure.