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hal-00488298, version 1

Open-loop control of stochastic fluid systems and applications

Bruno Gaujal () 1, Landy Rabehasaina () 2

Operations Research Letters 35, 4 (2007) Pages 455-462

Abstract: We consider a stochastic process Q(t) satisfying a linear differential equation, driven by a jump process which is modulated by a binary sequence. We prove multimodular properties related to the process Q(t) and apply those results to optimal strategies in storage systems models and in ruin problems.

  • 1:  MESCAL (INRIA Grenoble Rhône-Alpes / LIG laboratoire d'Informatique de Grenoble)
  • CNRS : UMR5217 – INRIA – Université Joseph Fourier - Grenoble I – Université Pierre-Mendès-France - Grenoble II – Institut polytechnique de Grenoble (Grenoble INP)
  • 2:  Laboratoire de Mathématiques (LM-Besançon)
  • CNRS : UMR6623 – Université de Franche-Comté
  • Domain : Mathematics/Probability
  • Keywords : Multimodularity – Fluid queues – Capital allocation
 
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  • From: Landy Rabehasaina <>
  • Submitted on: Tuesday, 1 June 2010 16:41:52
  • Updated on: Tuesday, 1 June 2010 16:41:52