Diffusion local time storage

DOI10.1016/j.spa.2004.06.005zbMath1070.60081arXivmath/0406398OpenAlexW2025865896MaRDI QIDQ2485805

Marina Kozlova, Paavo H. Salminen

Publication date: 5 August 2005

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

Full work available at URL: https://arxiv.org/abs/math/0406398

zbMATH Keywords

Brownian motion with driftPalm probabilityDiffusion processesBusy periodsIdle periodsSpectrally positive Lévy processes

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Local time and additive functionals (60J55)

Related Items (5)

Comparisons of coherent systems under the time-transformed exponential model ⋮ Some properties of bivariate Schur-constant distributions ⋮ New characterizations of bivariate discrete Schur-constant models ⋮ Analysis of stochastic fluid queues driven by local-time processes ⋮ A renewal-process-type expression for the moments of inverse subordinators

Cites Work

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• On first range times of linear diffusions
• On the Integrodifferential Equation of Takacs. I
• Fluctuation theory in continuous time
• Stochastic comparisons for residual lifetimes and Bayesian notions of multivariate ageing
• On busy periods of the unbounded Brownian storage

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