A stochastic clearing model with a Brownian and a compound poisson component

Offer Kella; David Perry; Wolfgang Stadje

doi:10.1017/S026996480317101X

A stochastic clearing model with a Brownian and a compound poisson component

Offer Kella
, David Perry
, Wolfgang Stadje

Department of Statistics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	1-22
Number of pages	22
Journal	Probability in the Engineering and Informational Sciences
Volume	17
Issue number	1
DOIs	https://doi.org/10.1017/S026996480317101X
State	Published - 2003

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Management Science and Operations Research
Industrial and Manufacturing Engineering

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10.1017/S026996480317101X

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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.",

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AB - 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.

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DO - 10.1017/S026996480317101X

M3 - Article

AN - SCOPUS:0037250307

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JO - Probability in the Engineering and Informational Sciences

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A stochastic clearing model with a Brownian and a compound poisson component

Abstract

ASJC Scopus subject areas

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