Loss Rates for Lévy Processes with Two Reflecting Barriers
From MaRDI portal
Publication:5388032
DOI10.1287/moor.1060.0226zbMath1341.60036MaRDI QIDQ5388032
Mats Pihlsgård, Soren Asmussen
Publication date: 27 May 2008
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/70ea4c6813520ca177035624b3543ed24ce6d9ba
asymptotics; reflection; Skorokhod problem; martingale; local time; Lévy process; light tail; Cramér-Lundberg approximation; loss rate; Lundberg equation; Markov-modulated Lévy process
60G51: Processes with independent increments; Lévy processes
60K25: Queueing theory (aspects of probability theory)
60K10: Applications of renewal theory (reliability, demand theory, etc.)
Related Items
INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL, Unifying the Dynkin and Lebesgue–Stieltjes formulae, FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES, Lévy processes in bounded domains: path-wise reflection scenarios and signatures of confinement, On first passage times of sticky reflecting diffusion processes with double exponential jumps, Potential measures of one-sided Markov additive processes with reflecting and terminating barriers, Loss Rate Asymptotics in aGI/G/1 Queue with Finite Buffer, Stochastic Duality of Markov Processes: A Study Via Generators, Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes, Tail asymptotics of the waiting time and the busy period for the \(\mathrm{M}/\mathrm{G}/1/K\) queues with subexponential service times, Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling, Optimal processing rate and buffer size of a jump-diffusion processing system, Mean first passage times of two-dimensional processes with jumps, Subexponential loss rate asymptotics for Lévy processes, On the dynamics of a finite buffer queue conditioned on the amount of loss, Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes, Asymptotic behavior of the loss rate for Markov-modulated fluid queue with a finite buffer, Singularities of the matrix exponent of a Markov additive process with one-sided jumps, Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes, First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps, Discretization error for a two-sided reflected Lévy process, Martingales associated with functions of Markov and finite variation processes, Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps, Queues with Lévy input and hysteretic control, Loss rates in the single-server queue with complete rejection, Lévy risk model with two-sided jumps and a barrier dividend strategy, Parameter estimation for generalized diffusion processes with reflected boundary, Local martingales with two reflecting barriers, A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes, Lévy Processes with Two-Sided Reflection, On the Dynamics of Semimartingales with Two Reflecting Barriers, Two-Sided Reflection of Markov-Modulated Brownian Motion, Lévy Processes, Phase-Type Distributions, and Martingales, Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection, Markov-Modulated Brownian Motion with Two Reflecting Barriers, First Passage of a Markov Additive Process and Generalized Jordan Chains
