Useful martingales for stochastic storage processes with Lévy-input and decomposition results

In this paper we generalize the martingale of Kella and Whitt to the setting of Lévy-type processes and show that under some quite minimal conditions the local martingales are actually L^2 martingales which upon dividing by the time index converge to zero a.s. and in L^2. We apply these results to generalize known decomposition results for Lévy queues with secondary jump inputs and queues with server vacations or service interruptions. Special cases are polling systems with either compound Poisson or more general Lévy inputs. Keywords: Lévy-type processes, Lévy storage systems, Kella-Whitt martingale, decomposition results, queues with server vacations