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

Show full item record

Google ScholarTM

Check

Altmetric