 |
Journal articles
Open-loop control of stochastic fluid systems and applications
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.
https://hal.archives-ouvertes.fr/hal-00488298
Contributor : Landy Rabehasaina <>
Submitted on : Tuesday, June 1, 2010 - 4:41:52 PM
Last modification on : Tuesday, February 9, 2021 - 3:18:03 PM
Contributor : Landy Rabehasaina <>
Submitted on : Tuesday, June 1, 2010 - 4:41:52 PM
Last modification on : Tuesday, February 9, 2021 - 3:18:03 PM