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

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  • Yamada, Keigo

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.

Suggested Citation

  • Yamada, Keigo, 1994. "Reflecting or sticky Markov processes with Lévy generators as the limit of storage processes," Stochastic Processes and their Applications, Elsevier, vol. 52(1), pages 135-164, August.
    • Handle: RePEc:eee:spapps:v:52:y:1994:i:1:p:135-164
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    Cited by:

    1. Christian Meier & Lingfei Li & Gongqiu Zhang, 2019. "Markov Chain Approximation of One-Dimensional Sticky Diffusions," Papers 1910.14282, arXiv.org.
    2. Yamada, Keigo, 1999. "Two limit theorems for queueing systems around the convergence of stochastic integrals with respect to renewal processes," Stochastic Processes and their Applications, Elsevier, vol. 80(1), pages 103-128, March.

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