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.
Bruno Gaujal, Landy Rabehasaina. Open-loop control of stochastic fluid systems and applications. Operations Research Letters, Elsevier, 2007, 35 (4), pp.Pages 455-462. ⟨10.1016/j.orl.2006.07.005⟩. ⟨hal-00488298⟩