Exact distributions in a jump-diffusion storage model
| Autor(en): | Perry, D Stadje, W |
Stichwörter: | APPROXIMATIONS; Engineering; Engineering, Industrial; Mathematics; Operations Research & Management Science; QUEUES; RUIN; Statistics & Probability; TIME | Erscheinungsdatum: | 2002 | Herausgeber: | CAMBRIDGE UNIV PRESS | Journal: | PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | Volumen: | 16 | Ausgabe: | 1 | Startseite: | 19 | Seitenende: | 27 | Zusammenfassung: | We consider a reflected independent superposition of a Brownian motion and a compound Poisson process with positive and negative jumps, which can be interpreted as a model for the content process of a storage system with different types of customers under heavy traffic. The distributions of the duration of a busy cycle and the maximum content during a cycle are determined in closed form. |
ISSN: | 02699648 | DOI: | 10.1017/S026996480216102X |
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geprüft am 01.06.2024
