On the Dynamics of Semimartingales with Two Reflecting Barriers

DOI10.1239/jap/1378401229zbMath1282.60047MaRDI QIDQ2854074

Mats Pihlsgård, Peter W. Glynn

Publication date: 17 October 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1378401229

zbMATH Keywords

reflection; Skorokhod problem; martingale; stochastic integration; Lévy process; semimartingale

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G44: Martingales with continuous parameter

60G17: Sample path properties

60H05: Stochastic integrals

Related Items

Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps, Local martingales with two reflecting barriers, Lévy Processes with Two-Sided Reflection

Cites Work

• 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
• Subexponential loss rates in a GI/GI/1 queue with applications
• Structural properties of reflected Lévy processes
• Reflecting thoughts
• An explicit formula for the Skorokhod map on \([0,a\)]
• 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
• A fluid queue with a finite buffer and subexponential input
• ON AN EQUIVALENCE BETWEEN LOSS RATES AND CYCLE MAXIMA IN QUEUES AND DAMS
• 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