Structural properties of reflected Lévy processes
The paper studies structural properties of reflected Lévy process with two types of reflection: one-sided reflection (at 0) and two-sided reflection (at both 0 and \(K>0\)). Let \(V_t\) denote the position of the reflected process at time \(t\), and let \(\zeta_t=\mathsf{E}V_t\) and \(\xi_t=\mathsf{Var}V_t\). For both one-sided and two-sided reflections, it is proved that \(\zeta_t\) is an increasing and concave function, and for the only one-sided reflection it is proved that \(\xi_t\) is increasing. For the one-sided reflection, the concavity of the process \(\zeta_t\) was earlier proved in [\textit{O. Kella}, J. Appl. Probab. 29, 209--215 (1992; Zbl 0760.60069)] (under specified conditions) and in [\textit{O. Kella}, and \textit{M. Sverchkov}, J. Appl. Probab. 31, 1140--1142 (1994; Zbl 0822.60030)] (under the general setting).
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