On the area between a Lévy process with secondary jump inputs and its reflected version

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2024-09-05 DOI:10.1080/15326349.2024.2393573

Offer Kella, Michel Mandjes

引用次数: 0

Abstract

We study the stochastic properties of the area under some function of the difference between (i) a spectrally positive Lévy process Wtx that jumps to a level x > 0 whenever it hits zero and (ii) it...

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关于具有二级跳跃输入的莱维过程与其反射版本之间的区域

我们研究了以下两种情况的差分函数下面积的随机性质：(i) 每当Wtx碰到零时就跳到一个水平x > 0的谱正Lévy过程；(ii) Wtx碰到零时就跳到一个水平x > 0的谱正Lévy过程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.