Extended Lévy’s theorem for a two-sided reflection
Author:
Affiliation:
1. The University of Manchester, United Kingdom
Publisher
Institute of Mathematical Statistics
Reference7 articles.
1. Andersen, L. N. and Mandjes, M.: Structural properties of reflected Lévy processes. Queueing Syst. 63, (2009), 301–322.
2. Chitashvili, R. J. and Lazrieva, N. L.: Strong solutions of stochastic differential equations with boundary conditions. Stochastics 5, (1981), 255–309.
3. Graversen, S. E. and Shiryaev, A. N.: An extension of P. Lévy’s distributional properties to the case of a Brownian motion with drift. Bernoulli 6, (2000), 615–620.
4. Kruk, L., Lehoczky, J., Ramanan, K. and Shreve, S.: Double Skorokhod map and reneging real-time queues. Inst. Math. Stat. (IMS) Collect. 4, (2008), 169–193.
5. Kruk, L., Lehoczky, J., Ramanan, K. and Shreve, S.: An explicit formula for the Skorokhod map on [0,a]. Ann. Probab. 35(5), (2007), 1740–1768.
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