Bounds on exponential moments of hitting times for reflected processes on the positive orthant

DOI10.1016/j.spl.2012.02.022zbMath1245.60045MaRDI QIDQ426699

Chihoon Lee

Publication date: 11 June 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.02.022

zbMATH Keywords

exponential moments; first hitting times; reflected fractional Brownian motion; reflected Lévy process; heavy traffic theory

Mathematics Subject Classification ID

60G15: Gaussian processes

60G22: Fractional processes, including fractional Brownian motion

90B18: Communication networks in operations research

60G18: Self-similar stochastic processes

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