Loss rates for Lévy processes with two reflecting barriers
(2007) In Mathematics of Operations Research 32(2). p.308-321- Abstract
- Let {Xt} be a Lévy process which is reflected at 0 and K>0. The reflected process {VtK} is constructed as VtK = V0K + Xt + Lt0 - LtK where{Lt0} and {LtK} are the local times at 0 and K, respectively. We consider the loss rate lK, defined by lK=E KL1K where E K is the expectation under the stationary measure K. The main result of the paper is the identification of lK in terms of K and the characteristic triplet of {Xt}. We also derive asymptotics of lK as K when EXt <0 and the Lévy measure of {Xt} is light-tailed.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/930220
- author
- Asmussen, Sören LU and Pihlsgård, Mats LU
- organization
- publishing date
- 2007
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Mathematics of Operations Research
- volume
- 32
- issue
- 2
- pages
- 308 - 321
- publisher
- Informs
- external identifiers
-
- scopus:38549160076
- ISSN
- 0364-765X
- DOI
- 10.1287/moor.1060.0226
- language
- English
- LU publication?
- yes
- id
- fc63aeee-e5f7-4d7b-9848-e938d3994489 (old id 930220)
- alternative location
- http://www.jstor.org/stable/25151791
- date added to LUP
- 2016-04-04 10:59:25
- date last changed
- 2022-04-16 02:44:01
@article{fc63aeee-e5f7-4d7b-9848-e938d3994489, abstract = {{Let {Xt} be a Lévy process which is reflected at 0 and K>0. The reflected process {VtK} is constructed as VtK = V0K + Xt + Lt0 - LtK where{Lt0} and {LtK} are the local times at 0 and K, respectively. We consider the loss rate lK, defined by lK=E KL1K where E K is the expectation under the stationary measure K. The main result of the paper is the identification of lK in terms of K and the characteristic triplet of {Xt}. We also derive asymptotics of lK as K when EXt <0 and the Lévy measure of {Xt} is light-tailed.}}, author = {{Asmussen, Sören and Pihlsgård, Mats}}, issn = {{0364-765X}}, language = {{eng}}, number = {{2}}, pages = {{308--321}}, publisher = {{Informs}}, series = {{Mathematics of Operations Research}}, title = {{Loss rates for Lévy processes with two reflecting barriers}}, url = {{http://dx.doi.org/10.1287/moor.1060.0226}}, doi = {{10.1287/moor.1060.0226}}, volume = {{32}}, year = {{2007}}, }