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arxiv: 1110.3827 · v1 · pith:K4A6XJZEnew · submitted 2011-10-17 · 🧮 math.PR

Loss rate for a general L\'evy process with downward periodic barrier

classification 🧮 math.PR
keywords barrierprocessdownwardgenerallossmathbbperiodicrate
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In this paper we consider a general L\'{e}vy process $X$ reflected at downward periodic barrier $A_t$ and constant upper barrier $K$ giving a process $V^K_t=X_t+L^A_t-L^K_t$. We find the expression for a loss rate defined by $l^K=\mathbb{E} L^K_1$ and identify its asymptotics as $K\to\infty$ when $X$ has light-tailed jumps and $\mathbb{E}X_1<0$.

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