Abstract
In this paper we generalize the martingale of Kella and Whitt to the setting of Lévy-type processes and show that the (local) martingales obtained are in fact square-integrable martingales which upon dividing by the time index converge to zero almost surely and in L
2. The reflected Lévy-type process is considered as an example.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability