A Lévy Process Reflected at a Poisson Age Process
نویسندگان
چکیده
منابع مشابه
A Lévy Process Reflected at a Poisson Age Process
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 condition...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2006
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200001480