Lévy Processes with Two-Sided Reflection

DOI10.1007/978-3-319-23138-9_2zbMath1338.60126MaRDI QIDQ2807248

Mats Pihlsgård, Soren 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

zbMATH Keywords

Lévy processes; Poisson's equation; phase-type distribution; Skorokhod problem; central limit theorem; large deviations; martingale; heavy tails; integro-differential equation; local time; functional limit theorem; queueing theory; storage process; Itō's formula; first passage problem; Siegmund duality; overflow; loss rate; finite buffer problem

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60F05: Central limit and other weak theorems

60K25: Queueing theory (aspects of probability theory)

60G44: Martingales with continuous parameter

60F10: Large deviations

34K50: Stochastic functional-differential equations

60F17: Functional limit theorems; invariance principles

60J55: Local time and additive functionals

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

Related Items

Lévy processes in bounded domains: path-wise reflection scenarios and signatures of confinement, Large Deviations for Additive Functionals of Reflected Jump-Diffusions, A review of Burke's theorem for Brownian motion, Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem, Best dispersal strategies in spatially heterogeneous environments: optimization of the principal eigenvalue for indefinite fractional Neumann problems, A broad view of queueing theory through one issue, Discretization error for a two-sided reflected Lévy process, Stochastic homogenization of a class of nonconvex viscous HJ equations in one space dimension, Heavy-tailed random walks, buffered queues and hidden large deviations, The correlation function of a queue with Lévy and Markov additive input, Lévy-driven GPS queues with heavy-tailed input, SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation, Tightness and weak convergence of probabilities on the Skorokhod space on the dual of a nuclear space and applications

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