The maximum of a Lévy process reflected at a general barrier

DOI10.1016/j.spa.2008.11.007zbMath1186.60043OpenAlexW2085796405MaRDI QIDQ2389233

Niels Richard Hansen

Publication date: 15 July 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.11.007

zbMATH Keywords

Lévy processreflected processqueuing theoryrisk theorytime-dependent barrierstorage modelsKella-Whitt martingale

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Queues and service in operations research (90B22)

Related Items

A note on first passage probabilities of a L\'evy process reflected at a general barrier

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