Structural properties of reflected Lévy processes

L.N. Andersen, M.R.H. Mandjes

Onderzoeksoutput: Boek/rapportRapportAcademic

Samenvatting

This paper considers a number of structural properties of reflected Lévy processes, where both onesided reflection (at 0) and two-sided reflection (at both 0 and K > 0) are examined. With Vt being the position of the reflected process at time t, we focus on the analysis of ¿(t) := EVt and ¿(t) := VarVt. We prove that for the one- and two-sided reflection we have ¿(t) is increasing and concave, whereas for the one-sided reflection we also show that ¿(t) is increasing. In most proofs we first establish the claim for the discrete-time counterpart (that is, a reflected random walk), and then we use a limiting argument. A key step in our proofs for the two-sided reflection is a new representation of the position of the reflected process in terms of the driving Lévy process.
Originele taal-2Engels
Plaats van productieAmsterdam
UitgeverijCentrum voor Wiskunde en Informatica
Aantal pagina's19
StatusGepubliceerd - 2008

Publicatie series

NaamCWI Report
VolumePNA-R0814

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