Lévy processes with two-sided reflection

DOI10.1007/978-3-319-23138-9_2zbMATH Open1338.60126OpenAlexW2291480101MaRDI QIDQ2807248FDOQ2807248

Mats Pihlsgård, Søren Asmussen, Lars Nørvang Andersen, 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

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

zbMATH Keywords

heavy tailscentral limit theoremphase-type distributionmartingalelarge deviationsqueueing theorylocal timefirst passage problemfunctional limit theoremintegro-differential equationSkorokhod problemPoisson's equationSiegmund dualityoverflowloss ratestorage processfinite buffer problemLévy processesItō's formula

Mathematics Subject Classification ID

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

Cites Work

• Approximations of small jumps of Lévy processes with a view towards simulation
• Title not available (Why is that?)
• Subexponentiality and infinite divisibility
• Title not available (Why is that?)
• Inference in hidden Markov models.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Convergence of stochastic processes
• Title not available (Why is that?)
• Applied Probability and Queues
• Stochastic simulation: Algorithms and analysis
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Introductory lectures on fluctuations of Lévy processes with applications.
• Title not available (Why is that?)
• Stochastic differential equations with reflecting boundary condition in convex regions
• Stochastic-Process Limits
• Title not available (Why is that?)
• Stochastic differential equations with reflecting boundary conditions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Applied stochastic control of jump diffusions
• Cramér's estimate for Lévy processes
• A Liapounov bound for solutions of the Poisson equation
• Title not available (Why is that?)
• Title not available (Why is that?)
• A multi-dimensional martingale for Markov additive processes and its applications
• Lévy Processes and Stochastic Calculus
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the transition densities for reflected diffusions
• Title not available (Why is that?)
• Reflected Brownian motion on an orthant
• The equivalence of absorbing and reflecting barrier problems for stochastically monotone Markov processes
• Russian and American put options under exponential phase-type Lévy models.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Gerber-Shiu risk theory
• Subexponential distributions and integrated tails
• Title not available (Why is that?)
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• Title not available (Why is that?)
• Option pricing and Esscher transform under regime switching
• Useful martingales for stochastic storage processes with Lévy input
• Transient Behavior of the M/G/1 Workload Process
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Tail asymptotics for exponential functionals of Lévy processes
• Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes
• Title not available (Why is that?)
• A note on Veraverbeke's theorem
• Title not available (Why is that?)
• Transaction costs, trading volume, and the liquidity premium
• Patterns of buffer overflow in a class of queues with long memory in the input stream
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• A Limit Theorem for Passage Times in Ergodic Regenerative Processes
• Time to Reach Buffer Capacity in aBMAPQueue
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• The Brownian approximation for rate-control throttles and the \(G/G/1/C\) queue
• An explicit formula for the Skorokhod map on \([0,a]\)
• Asymptotic variance parameters for the boundary local times of reflected Brownian motion on a compact interval
• Mesure invariante sur les classes r�currentes des processus de Markov
• A local limit theorem for random walk maxima with heavy tails
• Tail probabilities of subadditive functionals of Lévy processes.
• Structural properties of reflected Lévy processes
• Title not available (Why is that?)
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Special, conjugate and complete scale functions for spectrally negative Lévy processes
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• A Lévy Process Reflected at a Poisson Age Process
• Continuity of Certain Random Integral Mappings and the Uniform Integrability of Infinitely Divisible Measures
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• Concavity and reflected Lévy processes
• Markov-Modulated Brownian Motion with Two Reflecting Barriers
• The two-sided exit problem for spectrally positive Lévy processes
• Exit problem for a spectrally positive process
• Title not available (Why is that?)
• On the First Exit Time of a Completely Asymmetric Stable Process from a Finite Interval
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• Loss Rates for Lévy Processes with Two Reflecting Barriers
• Title not available (Why is that?)
• Subexponential loss rates in a GI/GI/1 queue with applications
• Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
• A fluid queue with a finite buffer and subexponential input
• Loss Rate Asymptotics in aGI/G/1 Queue with Finite Buffer
• Subexponential loss rate asymptotics for Lévy processes
• Characterization of stationary distributions of reflected diffusions
• Double Skorokhod Map and Reneging Real-Time Queues
• Limits of first passage times to rare sets in regenerative processes
• Title not available (Why is that?)
• Reduced load equivalence under subexponentiality
• A note on integral representations of the Skorokhod map
• On the asymptotic relationship between the overflow probability and the loss ratio
• ON AN EQUIVALENCE BETWEEN LOSS RATES AND CYCLE MAXIMA IN QUEUES AND DAMS
• A new look at the Moran dam
• Single-server queueing systems with uniformly limited queueing time
• Skorohod-Loynes characterizations of queueing, fluid, and inventory processes
• On the dynamics of a finite buffer queue conditioned on the amount of loss
• Trading Securities Using Trailing Stops
• Useful Martingales for Stochastic Storage Processes with Lévy-Type Input
• Continuous-time monotone stochastic recursions and duality
• Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum
• First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers
• Title not available (Why is that?)
• First passage of reflected strictly stable processes
• Title not available (Why is that?)
• A Brownian motion with two reflecting barriers and Markov-modulated speed
• Asymptotic behavior of the stationary distribution in a finite QBD process with zero mean drift
• Exact buffer overflow calculations for queues via martingales
• Asymptotic behavior of the loss rate for Markov-modulated fluid queue with a finite buffer
• Title not available (Why is that?)
• A note on random walks
• Lévy Processes, Phase-Type Distributions, and Martingales
• Title not available (Why is that?)
• Monotone Stochastic Recursions and their Duals
• Poisson's equation for the recurrent M/G/1 queue
• Title not available (Why is that?)
• Overflow probability for a discrete-time queue with non-stationary multiplexed input
• Risk and duality in multidimensions
• On doubly reflected completely asymmetric Lévy processes.
• On the dynamics and performance of stochastic fluid systems
• Volume and duration of losses in finite buffer fluid queues
• On the dynamics of semimartingales with two reflecting barriers
• On concavity of the mean function and stochastic ordering for reflected processes with stationary increments
• Large deviations for the boundary local time of doubly reflected Brownian motion
• Scale functions of Lévy processes and busy periods of finite-capacity M/GI/1 queues
• Integral representation of Skorokhod reflection
• Asymptotic Results for Buffer Systems under Heavy Load
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (21)

• A broad view of queueing theory through one issue
• Tightness and weak convergence of probabilities on the Skorokhod space on the dual of a nuclear space and applications
• On doubly reflected completely asymmetric Lévy processes.
• Best dispersal strategies in spatially heterogeneous environments: optimization of the principal eigenvalue for indefinite fractional Neumann problems
• Large Deviations for Additive Functionals of Reflected Jump-Diffusions
• A Lévy Process Reflected at a Poisson Age Process
• A review of Burke's theorem for Brownian motion
• Loss Rates for Lévy Processes with Two Reflecting Barriers
• Heavy-tailed random walks, buffered queues and hidden large deviations
• Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
• Lévy-driven GPS queues with heavy-tailed input
• Lévy processes in bounded domains: path-wise reflection scenarios and signatures of confinement
• Stochastic homogenization of a class of nonconvex viscous HJ equations in one space dimension
• Boundary conditions for nonlocal one-sided pseudo-differential operators and the associated stochastic processes
• Probability of total domination for transient reflecting processes in a quadrant
• On reflection with two-sided jumps
• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• The correlation function of a queue with Lévy and Markov additive input
• SDEs with two reflecting barriers driven by optional processes with regulated trajectories
• Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
• Discretization error for a two-sided reflected Lévy process

This page was built for publication: Lévy processes with two-sided reflection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2807248)