A Lévy Process Reflected at a Poisson Age Process
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Publication:5489001
DOI10.1239/jap/1143936255zbMath1104.60052OpenAlexW2127278800MaRDI QIDQ5489001
Offer Kella, M. R. H. Mandjes, Onno J. Boxma
Publication date: 25 September 2006
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1143936255
Related Items (14)
The maximum of a Lévy process reflected at a general barrier ⋮ Markov modulation of a two-sided reflected Brownian motion with application to fluid queues ⋮ Transient analysis of reflected Lévy processes ⋮ Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue ⋮ Transient Asymptotics of Lévy-Driven Queues ⋮ Hypothesis testing for a Lévy-driven storage system by Poisson sampling ⋮ A Lévy input model with additional state-dependent services ⋮ A note on first passage probabilities of a L\'evy process reflected at a general barrier ⋮ Structural properties of reflected Lévy processes ⋮ Local martingales with two reflecting barriers ⋮ Lévy Processes with Two-Sided Reflection ⋮ Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process ⋮ On the Correlation Structure of a Lévy-Driven Queue ⋮ On the Dynamics of Semimartingales with Two Reflecting Barriers
Cites Work
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- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- Cramér's estimate for Lévy processes
- Queues with server vacations and Lévy processes with secondary jump input
- Extremes of Gaussian processes over an infinite horizon
- Useful martingales for stochastic storage processes with Lévy input
- Applied Probability and Queues
- Convolution equivalence and infinite divisibility
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