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February 1996 A Markovian storage model
António Pacheco, N. U. Prabhu
Ann. Appl. Probab. 6(1): 76-91 (February 1996). DOI: 10.1214/aoap/1034968066

Abstract

We investigate a storage model where the input and the demand are additive functionals on a Markov chain J. The storage policy is to meet the largest possible portion of the demand. We first derive results for the net input process embedded at the epochs of transitions of J, which is a Markov random walk. Our analysis is based on a Wiener-Hopf factorization for this random walk; this also gives results for the busy period of the storage process. The properties of the storage level and the unsatisfied demand are then derived.

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António Pacheco. N. U. Prabhu. "A Markovian storage model." Ann. Appl. Probab. 6 (1) 76 - 91, February 1996. https://doi.org/10.1214/aoap/1034968066

Information

Published: February 1996
First available in Project Euclid: 18 October 2002

zbMATH: 0863.60096
MathSciNet: MR1389832
Digital Object Identifier: 10.1214/aoap/1034968066

Subjects:
Primary: 60J15, 60J25, 60K330

Rights: Copyright © 1996 Institute of Mathematical Statistics

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Vol.6 • No. 1 • February 1996
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