Useful Martingales for Stochastic Storage Processes with Lévy-Type Input. (30th January 2018)
- Record Type:
- Journal Article
- Title:
- Useful Martingales for Stochastic Storage Processes with Lévy-Type Input. (30th January 2018)
- Main Title:
- Useful Martingales for Stochastic Storage Processes with Lévy-Type Input
- Authors:
- Kella, Offer
Boxma, Onno - Abstract:
- Abstract : In this paper we generalize the martingale of Kella and Whitt to the setting of Lévy-type processes and show that the (local) martingales obtained are in fact square-integrable martingales which upon dividing by the time index converge to zero almost surely and in L 2 . The reflected Lévy-type process is considered as an example.
- Is Part Of:
- Journal of applied probability. Volume 50:Number 2(2013)
- Journal:
- Journal of applied probability
- Issue:
- Volume 50:Number 2(2013)
- Issue Display:
- Volume 50, Issue 2 (2013)
- Year:
- 2013
- Volume:
- 50
- Issue:
- 2
- Issue Sort Value:
- 2013-0050-0002-0000
- Page Start:
- 439
- Page End:
- 449
- Publication Date:
- 2018-01-30
- Subjects:
- Lévy-type process, -- Lévy storage system, -- Kella-Whitt martingale
60K25, -- 60K37, -- 60K30, -- 60H30
519.2 - Journal URLs:
- https://www.cambridge.org/core/journals/journal-of-applied-probability ↗
- DOI:
- 10.1239/jap/1371648952 ↗
- Languages:
- English
- ISSNs:
- 0021-9002
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 14636.xml