Occupation times of alternating renewal processes with Lévy applications

DOI10.1017/JPR.2018.86zbMATH Open1405.60133arXiv1602.05131OpenAlexW2963259748MaRDI QIDQ4611287FDOQ4611287

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)

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.

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

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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)

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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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