Two-Parameter Lévy Processes Along Decreasing Paths
نویسندگان
چکیده
منابع مشابه
Loss Rates for Lévy Processes with Two Reflecting Barriers
Let {Xt} be a Lévy process which is reflected at 0 andK > 0. The reflected process {V K t } is constructed as V K t = V K 0 +Xt+Lt −Lt where {Lt} and {Lt } are the local times at 0 and K, respectively. We consider the loss rate ` , defined by ` = EπKL1 , where EπK is the expectation under the stationary measure πK . The main result of the paper is the identification of ` in terms of πK and the ...
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2010
ISSN: 0894-9840,1572-9230
DOI: 10.1007/s10959-010-0277-8