Author:
Palmowski Zbigniew,Świa̧tek Przemysław
Abstract
In this paper we consider a general Lévy processXreflected at a downward periodic barrierAtand a constant upper barrierK, giving a processVKt=Xt+LAt−LKt. We find the expression for a loss rate defined bylK=ELK1and identify its asymptotics asK→∞ whenXhas light-tailed jumps and EX1<0.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability