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On reflected lévy processes with collapse
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DOI：10.1017/jpr.2026.10073.png)
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Abstract
En 中文
We consider a L & eacute;vy process reflected at the origin with additional independent and identically distributed collapses that occur at Poisson epochs, where a collapse is a jump downward to a state which is a random fraction of the state just before the jump. We first study the general case, then specialize to the case where the L & eacute;vy process is spectrally positive, and, finally, we specialize further to the two cases where the L & eacute;vy process is a Brownian motion and a compound Poisson process with exponential jumps minus a linear slope.
Keywords:
Reflected L & eacute
vy process
collapse
Lindley-style autoregressive recursions
Journal
J
IF:
0.7
Papers:
70
Citations:
0