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

Poisson limit theoremhigh excursionsmaximal segmental scoreMaximum of reflected process

Mathematics Subject Classification ID

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

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

• Cramér's estimate for the reflected process revisited
• Cramér's estimate for Lévy processes
• Functional limit theorems for Lévy processes satisfying Cramér's condition
• Cramér asymptotics for finite time first passage probabilities of general Lévy processes
• The maximum of a Lévy process reflected at a general barrier

Cites work

• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• 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
• 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)

• Scan statistics of Lévy noises and marked empirical processes
• A note on first passage probabilities of a Lévy process reflected at a general barrier
• Cramér's estimate for the reflected process revisited
• Cramér's estimate for Lévy processes
• Functional limit theorems for Lévy processes satisfying Cramér's condition
• 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
• Curve crossing for random walks reflected at their maximum

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