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Reflecting or sticky Markov processes with Lévy generators as the limit of storage processes

We consider a class of storage models with finite or infinite capacities where input processes are pure jump processes having state-dependent Leavy measures. Conditions under which such storage models are approximated by reflecting or sticky diffusions or more generally Markov processes with Lévy generators having nondegenerate diffusion coefficients are given.
Year of publication:
1994
Authors: Yamada, Keigo
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 52.1994, 1, p. 135-164
Publisher: Elsevier
Keywords: Storage processes reflecting or sticky Markov processes state-dependent Lévy measures
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008875660
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