On the Dynamics of Semimartingales with Two Reflecting Barriers
From MaRDI portal
Publication:2854074
DOI10.1239/jap/1378401229zbMath1282.60047OpenAlexW2054092664MaRDI QIDQ2854074
Mats Pihlsgård, Peter W. Glynn
Publication date: 17 October 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1378401229
Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Sample path properties (60G17) Stochastic integrals (60H05)
Related Items (3)
Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps ⋮ Local martingales with two reflecting barriers ⋮ Lévy Processes with Two-Sided Reflection
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
- Subexponential loss rate asymptotics for Lévy processes
- Subexponential loss rates in a GI/GI/1 queue with applications
- Structural properties of reflected Lévy processes
- Reflecting thoughts
- An explicit formula for the Skorokhod map on \([0,a\)]
- Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
- Loss rate for a general Lévy process with downward periodic barrier
- On the asymptotic relationship between the overflow probability and the loss ratio
- A fluid queue with a finite buffer and subexponential input
- ON AN EQUIVALENCE BETWEEN LOSS RATES AND CYCLE MAXIMA IN QUEUES AND DAMS
- Applied Probability and Queues
- A new look at the Moran dam
- Loss Rates for Lévy Processes with Two Reflecting Barriers
- A Lévy Process Reflected at a Poisson Age Process
- Loss Rate Asymptotics in aGI/G/1 Queue with Finite Buffer
- Skorohod-Loynes characterizations of queueing, fluid, and inventory processes
This page was built for publication: On the Dynamics of Semimartingales with Two Reflecting Barriers