A Lévy process reflected at a Poisson age process

O. Kella, O.J. Boxma, M.R.H. Mandjes

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Samenvatting

We consider a Lévy process with no negative jumps, reflected at a stochastic boundary that is a positive constant multiple of an age process associated with a Poisson process. We show that the stability condition for this process is identical to the one for the case of reflection at the origin. In particular, there exists a unique stationary distribution that is independent of initial conditions. We identify the Laplace-Stieltjes transform of the stationary distribution and observe that it satisfies a decomposition property. In fact, it is a sum of two independent random variables, one of which has the stationary distribution of the process reflected at the origin, and the other the stationary distribution of a certain clearing process. The latter is itself distributed as an infinite sum of independent random variables. Finally, we discuss the tail behavior of the stationary distribution and in particular observe that the second distribution in the decomposition always has a light tail.
Originele taal-2Engels
Pagina's (van-tot)221-230
TijdschriftJournal of Applied Probability
Volume43
Nummer van het tijdschrift1
DOI's
StatusGepubliceerd - 2006

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