From reflected Lévy processes to stochastically monotone Markov processes via generalized inverses and supermodularity

Offer Kella*, Michel Mandjes

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


It was recently proven that the correlation function of the stationary version of a reflected Lévy process is nonnegative, nonincreasing, and convex. In another branch of the literature it was established that the mean value of the reflected process starting from zero is nondecreasing and concave. In the present paper it is shown, by putting them in a common framework, that these results extend to substantially more general settings. Indeed, instead of reflected Lévy processes, we consider a class of more general stochastically monotone Markov processes. In this setup we show monotonicity results associated with a supermodular function of two coordinates of our Markov process, from which the above-mentioned monotonicity and convexity/concavity results directly follow, but now for the class of Markov processes considered rather than just reflected Lévy processes. In addition, various results for the transient case (when the Markov process is not in stationarity) are provided. The conditions imposed are natural, in that they are satisfied by various frequently used Markovian models, as illustrated by a series of examples.

Original languageAmerican English
Article number1
Pages (from-to)68-84
Number of pages17
JournalJournal of Applied Probability
Issue number1
StatePublished - 19 Mar 2023

Bibliographical note

Funding Information:
O. K. is supported in part by Grant No. 1647/17 from the Israel Science Foundation and the Vigevani Chair in Statistics. M. M. is partly funded by the Dutch Research Council (NWO) Gravitation Programme Networks (Grant No. 024.002.003) and an NWO Top Grant (Grant No. 613.001.352).

Publisher Copyright:
© The Author(s) 2022.


  • Lévy-driven queues
  • Skorokhod problem
  • Stochastic storage process
  • concave mean
  • monotone and convex autocorrelation


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