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Open-loop control of stochastic fluid systems and applications

Bruno Gaujal 1 Landy Rabehasaina 2
1 MESCAL - Middleware efficiently scalable
Inria Grenoble - Rhône-Alpes, LIG - Laboratoire d'Informatique de Grenoble
2 LMB - Laboratoire de Mathématiques de Besançon (UMR 6623)
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.
keyword : Multimodularity Fluid queues Capital allocation
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https://hal.archives-ouvertes.fr/hal-00488298
Contributor : Landy Rabehasaina <>
Submitted on : Tuesday, June 1, 2010 - 4:41:52 PM
Last modification on : Wednesday, December 4, 2019 - 10:38:06 AM

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CNRS | INRIA | UNIV-FCOMTE | LIG | INSMI | UMR6623 | UGA

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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⟩

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