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On a reflected Ornstein-Uhlenbeck process with an application
Published online by Cambridge University Press: 17 April 2009
Abstract
The resolvent operator and the moment generating function of a reflected Ornstein-Uhlenbeck process are obtained. These results are then applied to determine the long-run average cost and the total expected discounted cost of operating a finite storage system with content-dependent release rate.
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- Copyright © Australian Mathematical Society 1991
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