Andersen, Lars - In: Mathematical Methods of Operations Research 73 (2011) 1, pp. 91-108
We consider a Lévy process reflected in barriers at 0 and K 0. The loss rate is the mean of the local time at K at time 1 when the process is started in stationarity, and is a natural continuous-time analogue of the stationary expected loss rate for a reflected random walk. We derive...
