Moments of polynomial functionals of spectrally positive Lévy processes
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arXiv
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| Format: | Preprint |
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2023
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| _version_ | 1866910912149979136 |
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| author | Glynn, Peter W. Jacobovic, Royi Mandjes, Michel |
| author_facet | Glynn, Peter W. Jacobovic, Royi Mandjes, Michel |
| contents | Let $J(\cdot)$ be a compound Poisson process with rate $λ>0$ and a jumps distribution $G(\cdot)$ concentrated on $(0,\infty)$. In addition, let $V$ be a random variable which is distributed according to $G(\cdot)$ and independent from $J(\cdot)$. Define a new process $W(t)\equiv W_V(t)\equiv V+J(t)-t$, $t\geqslant 0$ and let $τ_V$ be the first time that $W(\cdot)$ hits the origin. A long-standing open problem due to Iglehart (1971) and Cohen (1979) is to derive the moments of the functional $\int_0^τW(t)\,{\rm d}t$ in terms of the moments of $G(\cdot)$ and $λ$. In the current work, we solve this problem in much greater generality, i.e., first by letting $J(\cdot)$ belong to a wide class of spectrally positive \color{black} Lévy processes and secondly, by considering more general class of functionals. We also supply several applications of the existing results, e.g., in studying the process $x\mapsto \int_0^{τ_x}W_x(t)\,{\rm d}t$ defined on $x\in[0,\infty)$. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2310_11137 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Moments of polynomial functionals of spectrally positive Lévy processes Glynn, Peter W. Jacobovic, Royi Mandjes, Michel Probability 60G51, 60K25 Let $J(\cdot)$ be a compound Poisson process with rate $λ>0$ and a jumps distribution $G(\cdot)$ concentrated on $(0,\infty)$. In addition, let $V$ be a random variable which is distributed according to $G(\cdot)$ and independent from $J(\cdot)$. Define a new process $W(t)\equiv W_V(t)\equiv V+J(t)-t$, $t\geqslant 0$ and let $τ_V$ be the first time that $W(\cdot)$ hits the origin. A long-standing open problem due to Iglehart (1971) and Cohen (1979) is to derive the moments of the functional $\int_0^τW(t)\,{\rm d}t$ in terms of the moments of $G(\cdot)$ and $λ$. In the current work, we solve this problem in much greater generality, i.e., first by letting $J(\cdot)$ belong to a wide class of spectrally positive \color{black} Lévy processes and secondly, by considering more general class of functionals. We also supply several applications of the existing results, e.g., in studying the process $x\mapsto \int_0^{τ_x}W_x(t)\,{\rm d}t$ defined on $x\in[0,\infty)$. |
| title | Moments of polynomial functionals of spectrally positive Lévy processes |
| topic | Probability 60G51, 60K25 |
| url | https://arxiv.org/abs/2310.11137 |