Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1143088 | Operations Research Letters | 2007 | 8 Pages |
Abstract
We consider a stochastic process Q(t)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)Q(t) and apply those results to optimal strategies in storage systems models and in ruin problems.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Bruno Gaujal, Landy Rabehasaina,