Joint asymptotic distribution of certain path functionals of the reflected process

DOI10.1214/16-ECP4359MaRDI QIDQ303667zbMATHFDO

Authors Aleksandar Mijatović, Martijn R. Pistorius

Publication date 22 August 2016

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.6746

zbMATH Keywords

asymptotic independencelimiting overshootCramér conditionreflected Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Sample path properties (60G17)

Abstract: Let $au(x)$ be the first time the reflected process $Y$ of a Levy processes $X$ crosses x>0. The main aim of the paper is to investigate the asymptotic dependence of the path functionals: $Y(t)=X(t)-in{f}_{0leqsleqt}X(s)$, $M(t,x)=su{p}_{0leqsleqt}Y(s)-x$ and $Z(x)=Y(au(x))-x$. We prove that under Cramer's condition on X(1), the functionals $Y(t)$, $M(t,y)$ and $Z(x+y)$ are asymptotically independent as $mint,y,xoinfty$. We also characterise the law of the limiting overshoot $Z(infty)$ of the reflected process. If, as $mint,xoinfty$, the quantity $te-gammax$ has a positive limit ($gamma$ denotes the Cram'er coefficient), our results together with the theorem of Doney & Maller (2005) imply the existence and the explicit form of the joint weak limit $(Y(infty),M(infty),Z(infty))$.

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Cited in

(1)

• Functional limit theorems for Lévy processes satisfying Cramér's condition

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