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Loss rate for a general Lévy process with downward periodic barrier
Published online by Cambridge University Press: 14 July 2016
Abstract
In this paper we consider a general Lévy process X reflected at a downward periodic barrier At and a constant upper barrier K, giving a process VKt=Xt +LAt−LKt. We find the expression for a loss rate defined by lK=ELK1 and identify its asymptotics as K→∞ when X has light-tailed jumps and EX1<0.
MSC classification
- Type
- Part 2. Lévy Processes
- Information
- Journal of Applied Probability , Volume 48 , Issue A: New Frontiers in Applied Probability (Journal of Applied Probability Special Volume 48A) , August 2011 , pp. 99 - 108
- Copyright
- Copyright © Applied Probability Trust 2011
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