Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes
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Publication:2347452
DOI10.1016/j.spa.2015.02.007zbMath1322.60058arXiv1307.6947OpenAlexW2017582148MaRDI QIDQ2347452
Aleksandar Mijatović, Martijn R. Pistorius
Publication date: 27 May 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.6947
Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Queueing theory (aspects of probability theory) (60K25) Sample path properties (60G17)
Related Items (4)
Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ General tax structures for a Lévy insurance risk process under the Cramér condition ⋮ Path decomposition of a reflected Lévy process on first passage over high levels ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
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