Author:
Kella Offer,Perry David,Stadje Wolfgang
Abstract
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.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability
Cited by
28 articles.
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