Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection

DOI10.1080/15326349.2011.567928zbMath1229.60061OpenAlexW2115438085MaRDI QIDQ3006672

Lars Nørvang Andersen, Soren Asmussen

Publication date: 20 June 2011

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/41932061/imf_thiele_2009_01.pdf

zbMATH Keywords

uniform integrabilitystationary distributionlocal timeLévy processstable processreflected Lévy processloss ratereflecting barriers

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25) Stable stochastic processes (60G52) Local time and additive functionals (60J55)

Related Items (5)

Tail asymptotics of the waiting time and the busy period for the \(\mathrm{M}/\mathrm{G}/1/K\) queues with subexponential service times ⋮ Optimal processing rate and buffer size of a jump-diffusion processing system ⋮ Local martingales with two reflecting barriers ⋮ Lévy Processes with Two-Sided Reflection ⋮ On the Dynamics of Semimartingales with Two Reflecting Barriers

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