On fluctuation-theoretic decompositions via Lindley-type recursions

DOI10.1016/J.SPA.2023.09.004MaRDI QIDQ6056574zbMATH OpenOpenAlexFDO

Authors Onno Boxma, Offer Kella, M. R. H. Mandjes

Publication date 30 October 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2212.01811

zbMATH Keywords

decompositionfluctuation theoryLindley recursionmaximum of a Lévy processmaximum of a random walk

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25) Actuarial mathematics (91G05)

Abstract: Consider a L'evy process $Y(t)$ over an exponentially distributed time $$ with mean $$. We study the joint distribution of the running maximum $$ and the time epoch $$) at which this maximum last occurs. Our main result is a fluctuation-theoretic distributional equality: the vector ($$) can be written as a sum of two independent vectors, the first one being ($$) and the second one being the running maximum and corresponding time epoch under the restriction that the L'evy process is only observed at Poisson($omega$) inspection epochs (until $$). We first provide an analytic proof for this remarkable decomposition, and then a more elementary proof that gives insight into the occurrence of the decomposition and into the fact that $omega$ only appears in the right hand side of the decomposition. The proof technique underlying the more elementary derivation also leads to further generalizations of the decomposition, and to some fundamental insights into a generalization of the well known Lindley recursion.

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Cited in

(2)

• A decomposition for Lévy processes inspected at Poisson moments
• Bankruptcy probabilities under non-Poisson inspection

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