Local martingales with two reflecting barriers
DOI10.1239/jap/1450802753zbMath1334.60069OpenAlexW2261620593MaRDI QIDQ2794725
Publication date: 11 March 2016
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1450802753
reflectionBrownian motionsemimartingaleslaw of large numbersSkorokhod problemcentral limit theoremstochastic integrationlocal martingales
Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Brownian motion (60J65) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Sample path properties (60G17) Stochastic integrals (60H05)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
- Subexponential loss rate asymptotics for Lévy processes
- On the dynamics of a finite buffer queue conditioned on the amount of loss
- Structural properties of reflected Lévy processes
- Reflecting thoughts
- An explicit formula for the Skorokhod map on \([0,a\)]
- On the Dynamics of Semimartingales with Two Reflecting Barriers
- Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
- Loss rate for a general Lévy process with downward periodic barrier
- On the asymptotic relationship between the overflow probability and the loss ratio
- Applied Probability and Queues
- A new look at the Moran dam
- Loss Rates for Lévy Processes with Two Reflecting Barriers
- A Lévy Process Reflected at a Poisson Age Process
- Loss Rate Asymptotics in aGI/G/1 Queue with Finite Buffer
- Skorohod-Loynes characterizations of queueing, fluid, and inventory processes
This page was built for publication: Local martingales with two reflecting barriers