On moments and tail behaviors of storage processes

DOI10.1239/JAP/1067436101zbMath1055.60094OpenAlexW2126270533MaRDI QIDQ4819516

Makoto Yamazato, Arturo Kohatsu-Higa

Publication date: 27 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10230/836

zbMATH Keywords

subordinatorsubexponentialitysubmultiplicative functiondam processaverage process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Stable stochastic processes (60G52) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (2)

Multi-scaling of moments in stochastic volatility models ⋮ Moment bounds for dissipative semimartingales with heavy jumps

Cites Work

• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Finite moments for inventory processes
• Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
• Optimal Consumption and Exploration of Nonrenewable Resources under Uncertainty
• Storage processes with general release rule and additive inputs
• Subexponentiality and infinite divisibility
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