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EXACT DISTRIBUTIONS IN A JUMP-DIFFUSION STORAGE MODEL
Published online by Cambridge University Press: 11 January 2002
Abstract
We consider a reflected independent superposition of a Brownian motion and a compound Poisson process with positive and negative jumps, which can be interpreted as a model for the content process of a storage system with different types of customers under heavy traffic. The distributions of the duration of a busy cycle and the maximum content during a cycle are determined in closed form.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 16 , Issue 1 , January 2002 , pp. 19 - 27
- Copyright
- © 2002 Cambridge University Press
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