The maximum of a Lévy process reflected at a general barrier (Q2389233): Difference between revisions

The author studies properties of a Lévy process reflected at a deterministic, time-dependent barrier and in particular focuses on the global maximum of the reflected process. Let \(\psi\) denote the Laplace exponent of the Lévy process and assume it is finite; assuming there exists a unique solution \(\theta^*\) to \(\psi(\theta^*)=0\), the author derives conditions on the barrier such that the maximum is a.s. finite. If the maximum is a.s. finite, the author shows that the tail of its distribution decays like \(K\exp(-\theta^*x)\). The author further derives several representations -- and some explicit expressions -- for the constant \(K\). Finally, the author provides applications and interpretations of the results in the context of queuing theory and storage models, and in the context of Cramér--Lundberg risk theory.