Exact distributions in a jump-diffusion storage model

David Perry, Wolfgang Stadje

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Pages (from-to)19-27
Number of pages9
JournalProbability in the Engineering and Informational Sciences
Issue number1
StatePublished - 2002

ASJC Scopus subject areas

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


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