Reflecting or sticky Markov processes with Lévy generators as the limit of storage processes

Keigo Yamada

Stochastic Processes and their Applications, 1994, vol. 52, issue 1, 135-164

Abstract: We consider a class of storage models with finite or infinite capacities where input processes are pure jump processes having state-dependent Leavy measures. Conditions under which such storage models are approximated by reflecting or sticky diffusions or more generally Markov processes with Lévy generators having nondegenerate diffusion coefficients are given.

Keywords: Storage; processes; reflecting; or; sticky; Markov; processes; state-dependent; Lévy; measures (search for similar items in EconPapers)
Date: 1994
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