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Further applications of a general rate conservation law

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  • Bardhan, Indrajit

Abstract

Some further applications of a General Rate Conservation Law (GRCL) for stationary semimartingales are presented. GRCL is used to characterize the distribution of the reflection of Lévy processes with arbitrary jumps. The stationary distribution of a general jump-diffusion with a reflecting boundary is derived and an interesting stochastic decomposition result is obtained. A multidimensional version of GRCL is used to examine the stationary behaviour of a multidimensional reflected Lévy process. The relationship between GRCL and pathwise rate conservation is reviewed.

Suggested Citation

  • Bardhan, Indrajit, 1995. "Further applications of a general rate conservation law," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 113-130, November.
    • Handle: RePEc:eee:spapps:v:60:y:1995:i:1:p:113-130
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    References listed on IDEAS

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    1. Thorisson, Hermann, 1995. "On time- and cycle-stationarity," Stochastic Processes and their Applications, Elsevier, vol. 55(2), pages 183-209, February.
    2. Mazumdar, Ravi & Badrinath, Vivek & Guillemin, Fabrice & Rosenberg, Catherine, 1993. "On pathwise rate conservation for a class of semi-martingales," Stochastic Processes and their Applications, Elsevier, vol. 47(1), pages 119-130, August.
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