4 papers · 1 filter
Boundary Approximation for Sticky Jump-Reflected Processes on the Half-Line
Andrey Pilipenko, Andrey Sarantsev
The Skorokhod reflection was used in 1961 to create a reflected diffusion on the half-line. Later, it was used for processes with jumps such as reflected Lévy processes. Like a Bro…
A Note on Subexponential Rate of Convergence to Equilibrium for Processes on the Half-Line
Andrey Sarantsev
A powerful tool for studying long-term convergence of a Markov process to its stationary distribution is a Lyapunov function. In some sense, this is a substitute for eigenfunctions…
Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
Pierre-Olivier Goffard, Andrey Sarantsev
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality al…
Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
Andrey Sarantsev
Consider a reflected jump-diffusion on the positive half-line. Assume it is stochastically ordered. We apply the theory of Lyapunov functions and find explicit estimates for the ra…