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

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)

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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