Cramér's estimate for a reflected Lévy process

DOI10.1214/105051605000000016zbMATH Open1069.60045arXivmath/0505246OpenAlexW2018620178MaRDI QIDQ558683FDOQ558683

Authors: Ronald A. Doney, Ross A. Maller 

Publication date: 13 July 2005

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

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.

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

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zbMATH Keywords

Poisson limit theoremhigh excursionsmaximal segmental scoreMaximum of reflected process

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Cramér's estimate for Lévy processes
• Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
• Extreme Values in the GI/G/1 Queue
• The Strong Law of Large Numbers When the Mean is Undefined
• Limit distributions of maximal segmental score among Markov-dependent partial sums

Cited In (11)

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

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