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Asymptotic Behavior of Local Times of Compound Poisson Processes with Drift in the Infinite Variance Case

✍ Scribed by Lambert, Amaury; Simatos, Florian


Book ID
120739974
Publisher
Springer US
Year
2013
Tongue
English
Weight
494 KB
Volume
28
Category
Article
ISSN
0894-9840

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✍ Bara Kim; Jeongsim Kim; Jisu Lee πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 161 KB

We consider a finite QBD process with m levels. Assuming that the mean drift is 0, we obtain an asymptotic behavior (m) m ∼ (1/m)c as m β†’ ∞ in the stationary distribution ( (m) 0 , . . . , (m) m ), by finding an explicit expression for vector c. This solves the problem that was conjectured by Miyaza