Occupation times of alternating renewal processes with Lévy applications

DOI10.1017/JPR.2018.86MaRDI QIDQ4611287zbMATH OpenOpenAlexFDO

Authors N. J. Starreveld, R. Bekker, M. R. H. Mandjes

Publication date 17 January 2019

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

Full work available at URL https://arxiv.org/abs/1602.05131

zbMATH Keywords

central limit theoremlarge deviationsoccupation timereflected Brownian motionalternating renewal processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov renewal processes, semi-Markov processes (60K15) Inventory, storage, reservoirs (90B05)

Abstract: This paper presents a set of results relating to the occupation time $alpha(t)$ of a process $X(cdot)$. The first set of results concerns exact characterizations of $alpha(t)$ for $tgeq0$, e.g., in terms of its transform up to an exponentially distributed epoch. In addition we establish a central limit theorem (entailing that a centered and normalized version of $alpha(t)/t$ converges to a zero-mean Normal random variable as $tightarrowinfty$) and the tail asymptotics of $P(alpha(t)/tgeqq)$. We apply our findings to spectrally positive L'evy processes reflected at the infimum and establish various new occupation time results for the corresponding model.

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Cited in

(5)

• On occupation time for on-off processes with multiple off-states
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• The asymptotic joint distribution of the state occupancy times in an alternating renewal process
• Single-server queues under overdispersion in the heavy-traffic regime
• Functional limit theorems for occupation times of Lamperti's stochastic processes in discrete time

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