A stochastic clearing model with a Brownian and a compound Poisson component
| Autor(en): | Kella, O Perry, D Stadje, W |
Stichwörter: | Engineering; Engineering, Industrial; Mathematics; NEGATIVE CUSTOMERS; Operations Research & Management Science; QUEUES; Statistics & Probability; SYSTEMS; TIMES; WORKLOAD | Erscheinungsdatum: | 2003 | Herausgeber: | CAMBRIDGE UNIV PRESS | Enthalten in: | PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | Band: | 17 | Ausgabe: | 1 | Startseite: | 1 | Seitenende: | 22 | Zusammenfassung: | We consider a stochastic input-output system with additional total clearings at certain random times determined by its own evolution (and specified by a controller). Between two clearings, the stock level process is a superposition of a Brownian motion with drift and a compound Poisson process with positive jumps, reflected at zero. We introduce meaningful cost functionals for this system and determine them explicitly under several (classical and new) clearing policies. |
ISSN: | 02699648 |
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