A new approach to fluctuations of reflected Lévy processes

2010/04/22 by Jevgeņijs Ivanovs, Jevgenijs Ivanovs, Ivanovs, Jevgenijs
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G51 #Advanced Queuing Theory Analysis #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #math.PR #msc:60G51

paper · pdf · doi:10.48550/arxiv.1004.3857

6 pages

arxiv created 2010/04/22 · openalex publication_date 2010/04/22 · arxiv updated 2010/04/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We present a new approach to fluctuation identities for reflected Lévy processes with one-sided jumps. This approach is based on a number of easy to understand observations and does not involve excursion theory or Itô calculus. It also leads to more general results.

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