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
Contributeur : Landy Rabehasaina
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Soumis le : mardi 1 juin 2010 - 16:41:52
Dernière modification le : jeudi 11 octobre 2018 - 08:48:02
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〉
