Cramér's estimate for a reflected Lévy process

DOI10.1214/105051605000000016MaRDI QIDQ558683zbMATH OpenOpenAlexFDO

Authors Ronald A. Doney, Ross A. Maller

Publication date 13 July 2005

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

Full work available at URL https://arxiv.org/abs/math/0505246

zbMATH Keywords

high excursionsmaximal segmental scoreMaximum of reflected processPoisson limit theorem

Mathematics Subject Classification ID

Sample path properties (60G17) Processes with independent increments; Lévy processes (60G51)

Abstract: The natural analogue for a Levy process of Cramer's estimate for a reflected random walk is a statement about the exponential rate of decay of the tail of the characteristic measure of the height of an excursion above the minimum. We establish this estimate for any Levy process with finite negative mean which satisfies Cramer's condition, and give an explicit formula for the limiting constant. Just as in the random walk case, this leads to a Poisson limit theorem for the number of ``high excursions.

Recommendations

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• Cramér's estimate for Lévy processes
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Cites work

• Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
• Cramér's estimate for Lévy processes
• Extreme Values in the GI/G/1 Queue
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Limit distributions of maximal segmental score among Markov-dependent partial sums
• The Strong Law of Large Numbers When the Mean is Undefined

Cited in

(12)

• Renewal theorems and stability for the reflected process
• Cramér's estimate for Lévy processes
• Cramér's estimate for the reflected process revisited
• Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
• A lifetime of excursions through random walks and Lévy processes
• General tax structures for a Lévy insurance risk process under the Cramér condition
• Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes
• Curve crossing for random walks reflected at their maximum
• The maximum of a Lévy process reflected at a general barrier
• Scan statistics of Lévy noises and marked empirical processes
• Functional limit theorems for Lévy processes satisfying Cramér's condition
• A note on first passage probabilities of a Lévy process reflected at a general barrier

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