Structural properties of reflected Lévy processes

DOI10.1007/S11134-009-9116-YzbMATH Open1196.60149OpenAlexW2158660977MaRDI QIDQ2269478FDOQ2269478

Authors: Lars Nørvang Andersen, M. R. H. Mandjes 

Publication date: 17 March 2010

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/13608

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zbMATH Keywords

concordancereflectionmean functionstationary incrementsvariance functionComplete monotonicityLévy processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

Cites Work

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• Applied Probability and Queues
• Some Concepts of Dependence
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• Stochastic differential equations with reflecting boundary condition in convex regions
• Stochastic-Process Limits
• The covariance function of the virtual waiting-time process in an M/G/1 queue
• An explicit formula for the Skorokhod map on \([0,a]\)
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• Concavity and reflected Lévy processes
• Double Skorokhod Map and Reneging Real-Time Queues
• A note on random walks
• On concavity of the mean function and stochastic ordering for reflected processes with stationary increments

Cited In (21)

• On the dynamics of semimartingales with two reflecting barriers
• On the Structure and Estimation of Reflection Positive Processes
• Concavity and reflected Lévy processes
• Weak reflection principle for Lévy processes
• A Lévy Process Reflected at a Poisson Age Process
• Title not available (Why is that?)
• Extended Lévy's theorem for a two-sided reflection
• A construction of reflecting Lévy processes
• From reflected Lévy processes to stochastically monotone Markov processes via generalized inverses and supermodularity
• Local martingales with two reflecting barriers
• Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
• Power identities for Lévy risk models under taxation and capital injections
• Lévy processes in bounded domains: path-wise reflection scenarios and signatures of confinement
• A Lévy input model with additional state-dependent services
• Lévy processes with two-sided reflection
• Refracted Lévy processes
• Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
• Subexponential loss rate asymptotics for Lévy processes
• A note on integral representations of the Skorokhod map
• Discretization error for a two-sided reflected Lévy process
• On the time-dependent moments of Markovian queues with reneging

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