Stochastic Storage Model with Jump-Diffusion

被引：1

作者：

Vittal P.R. ^{[1
]}

Venkateswaran M. ^{[2
]}

Reddy P.R.S. ^{[3
]}

机构：

[1] Department of Statistics, University of Madras, Chennai

[2] Department of Humanities and Sciences, S.V. College of Engineering, Tirupati

[3] Department of Statistics, S.V. University, Tirupati

来源：

Journal of the Indian Society for Probability and Statistics | 2017年 / 18卷 / 1期

关键词：

Absorbing barrier; Diffusion approximations; Emptiness; Finite storage model; First passage times; Jump-diffusion; Master equation; Overflow; Reflecting barrier;

D O I：

10.1007/s41096-016-0013-5

中图分类号：

学科分类号：

摘要：

A storage model with random inputs and random outputs is considered. In addition to jumps, diffusion component is also introduced. This class of problems forms one dimensional master equation with separable kernel. For this class of problems the first passage time for overflow and emptiness are analyzed by converting the master equation into a differential equation of order four. The solutions for first passage times are obtained by imbedding the boundary conditions into master equations. For some special cases diffusion approximations for these models are also obtained using suitable statistical conditions. © 2016, The Indian Society for Probability and Statistics (ISPS).

引用

页码：53 / 76

页数：23

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