Lévy processes with two-sided reflection

DOI10.1007/978-3-319-23138-9_2MaRDI QIDQ2807248zbMATH OpenOpenAlexFDO

Authors Mats Pihlsgård, Lars Nørvang Andersen, Søren Asmussen, Peter W. Glynn

Publication date 19 May 2016

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-23138-9_2

zbMATH Keywords

local timestorage processSkorokhod problemSiegmund dualityqueueing theoryPoisson's equationphase-type distributionoverflowmartingaleloss ratecentral limit theoremLévy processeslarge deviationsItō's formulaintegro-differential equationheavy tailsfunctional limit theoremfirst passage problemfinite buffer problem

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Central limit and other weak theorems (60F05) Large deviations (60F10) Functional limit theorems; invariance principles (60F17) Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51) Local time and additive functionals (60J55) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Recommendations

• Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
• Loss Rates for Lévy Processes with Two Reflecting Barriers
• Loss rate for a general Lévy process with downward periodic barrier
• Structural properties of reflected Lévy processes
• The maximum of a Lévy process reflected at a general barrier

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