Translator Disclaimer
June 2013 Useful martingales for stochastic storage processes with Lévy-type input
Offer Kella, Onno Boxma
Author Affiliations +
J. Appl. Probab. 50(2): 439-449 (June 2013). DOI: 10.1239/jap/1371648952

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 L2. The reflected Lévy-type process is considered as an example.

Citation

Download Citation

Offer Kella. Onno Boxma. "Useful martingales for stochastic storage processes with Lévy-type input." J. Appl. Probab. 50 (2) 439 - 449, June 2013. https://doi.org/10.1239/jap/1371648952

Information

Published: June 2013
First available in Project Euclid: 19 June 2013

zbMATH: 1274.60272
MathSciNet: MR3102491
Digital Object Identifier: 10.1239/jap/1371648952

Subjects:
Primary: 60H30, 60K25, 60K30, 60K37

Rights: Copyright © 2013 Applied Probability Trust

JOURNAL ARTICLE
11 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.50 • No. 2 • June 2013
Back to Top