Loss Rates for Lévy Processes with Two Reflecting Barriers

Loss Rates for Lévy Processes with Two Reflecting Barriers (2005)

by Thiele Centre , Søren Asmussen

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Datum	Value	Source
TITLE	Loss Rates for Lévy Processes with Two Reflecting Barriers	SVM HeaderParse 0.2
AUTHOR NAME	Thiele Centre	SVM HeaderParse 0.2
AUTHOR AFFIL	the Stochastics Series at Department of Mathematical Sciences,; University of Aarhus, Denmark.	SVM HeaderParse 0.2
AUTHOR NAME	Søren Asmussen	SVM HeaderParse 0.2
ABSTRACT	Let {Xt} be a Lévy process which is reflected at 0 and K> 0. The reflected process {V K t} is constructed as V K t = V K 0 + Xt + L0 t − LK t where {L0 t} and {LK t} are the local times at 0 and K, respectively. We consider the loss rate ℓK, defined by ℓK = EπK LK1, where EπK is the expectation under the stationary measure πK. The main result of the paper is the identification of ℓK in terms of πK and the characteristic triplet of {Xt}. We also derive asymptotics of ℓK as K → ∞ when EX1 < 0 and the Lévy measure of {Xt} is light-tailed.	SVM HeaderParse 0.2
YEAR	2005	SVM HeaderParse 0.2
CITATIONS	24 found	ParsCit 1.0