A decomposition for Lévy processes inspected at Poisson moments

DOI10.1017/jpr.2022.66zbMath1516.60029arXiv2110.12256OpenAlexW3208778894MaRDI QIDQ6102053

Onno J. Boxma, M. R. H. Mandjes

Publication date: 8 May 2023

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

Full work available at URL: https://arxiv.org/abs/2110.12256

zbMATH Keywords

decompositionLévy processrunning maximumbankruptcy probability

Mathematics Subject Classification ID

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

Related Items

On fluctuation-theoretic decompositions via Lindley-type recursions

Cites Work

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