Structural properties of reflected Lévy processes

DOI10.1007/S11134-009-9116-YMaRDI QIDQ2269478zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Lévy processes with two-sided reflection
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Cites work

• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A Lévy Process Reflected at a Poisson Age Process
• A note on random walks
• An explicit formula for the Skorokhod map on \([0,a]\)
• Applied Probability and Queues
• Concavity and reflected Lévy processes
• Double Skorokhod Map and Reneging Real-Time Queues
• On concavity of the mean function and stochastic ordering for reflected processes with stationary increments
• Some Concepts of Dependence
• 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

Cited in

(21)

• On the dynamics of semimartingales with two reflecting barriers
• Concavity and reflected Lévy processes
• On the Structure and Estimation of Reflection Positive Processes
• Weak reflection principle for Lévy processes
• A Lévy Process Reflected at a Poisson Age Process
• scientific article; zbMATH DE number 2149875 (Why is no real title available?)
• A construction of reflecting Lévy processes
• Extended Lévy's theorem for a two-sided reflection
• 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
• Subexponential loss rate asymptotics for Lévy processes
• Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
• On the time-dependent moments of Markovian queues with reneging
• A note on integral representations of the Skorokhod map
• Discretization error for a two-sided reflected Lévy process

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