TY - JOUR
T1 - A stochastic clearing model with a Brownian and a compound poisson component
AU - Kella, Offer
AU - Perry, David
AU - Stadje, Wolfgang
PY - 2003
Y1 - 2003
N2 - We consider a stochastic input-output system with additional total clearings at certain random times determined by its own evolution (and specified by a controller). Between two clearings, the stock level process is a superposition of a Brownian motion with drift and a compound Poisson process with positive jumps, reflected at zero. We introduce meaningful cost functionals for this system and determine them explicitly under several (classical and new) clearing policies.
AB - We consider a stochastic input-output system with additional total clearings at certain random times determined by its own evolution (and specified by a controller). Between two clearings, the stock level process is a superposition of a Brownian motion with drift and a compound Poisson process with positive jumps, reflected at zero. We introduce meaningful cost functionals for this system and determine them explicitly under several (classical and new) clearing policies.
UR - http://www.scopus.com/inward/record.url?scp=0037250307&partnerID=8YFLogxK
U2 - 10.1017/S026996480317101X
DO - 10.1017/S026996480317101X
M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???
AN - SCOPUS:0037250307
SN - 0269-9648
VL - 17
SP - 1
EP - 22
JO - Probability in the Engineering and Informational Sciences
JF - Probability in the Engineering and Informational Sciences
IS - 1
ER -