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Probability of total domination for transient reflecting processes in a quadrant
Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
DOI
- https://doi.org/10.1017/apr.2022.2
Forlagets udgivne version
- Vladimir Fomichov ,
- Sandro Franceschi, Telecom Sud Paris ,
- Jevgenijs Ivanovs
We consider two-dimensional Levy processes reflected to stay in the positive quadrant. Our focus is on the non-standard regime when the mean of the free process is negative but the reflection vectors point away from the origin, so that the reflected process escapes to infinity along one of the axes. Under rather general conditions, it is shown that such behaviour is certain and each component can dominate the other with positive probability for any given starting position. Additionally, we establish the corresponding invariance principle providing justification for the use of the reflected Brownian motion as an approximate model. Focusing on the probability that the first component dominates, we derive a kernel equation for the respective Laplace transform in the starting position. This is done for the compound Poisson model with negative exponential jumps and, by means of approximation, for the Brownian model. Both equations are solved via boundary value problem analysis, which also yields the domination probability when starting at the origin. Finally, certain asymptotic analysis and numerical results are presented.
| Originalsprog | Engelsk |
|---|---|
| Tidsskrift | Advances in Applied Probability |
| Vol/bind | 54 |
| Nummer | 4 |
| Sider (fra-til) | 1094-1138 |
| Antal sider | 45 |
| ISSN | 0001-8678 |
| DOI | |
| Status | Udgivet - 14 dec. 2022 |
Bibliografisk note
Funding Information:
This work was initiated during the visit of S. Franceschi to Aarhus. The authors gratefully acknowledge financial support from Sapere Aude Starting Grant 8049-00021B, ‘Distributional Robustness in Assessment of Extreme Risk’, from the Independent Research Fund Denmark.
Publisher Copyright:
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