A control of a brownian storage system with two switcnover drifts
作者:
David Perry,
ShaulK. Bar-Iev,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1989)
卷期:
Volume 7,
issue 1
页码: 103-115
ISSN:0736-2994
年代: 1989
DOI:10.1080/07362998908809170
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
We consider a bounded storage system whose content level is bounded between two critical levels 0 and 1. In the absence of any control, the content level process fluctuates as a Brownian notion with drift μ and reflected barriers at 0 and 1. We assune that the purpose of any control scheme of the system is to decrease the chance that the process hits the critical levels and increase the proportion of tine it spends in a safe zone (a,b), 0<a<b<1, where a and b are chosen to mininize suitable cost functions. In this paper we consider a basic control scheme in which the controller is free to change (at any tine) the drift of the Brownian motion and use two drift values. We study several variations of this control scheme and derive suitable cost functions
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