Article ID: | iaor19932436 |
Country: | Israel |
Volume: | 29 |
Issue: | 2 |
Start Page Number: | 396 |
End Page Number: | 403 |
Publication Date: | Jun 1992 |
Journal: | Journal of Applied Probability |
Authors: | Whitt Ward, Kella Offer |
Keywords: | stochastic processes, storage |
The authors apply the general theory of stochastic integration to identify a martingale associated with a Lévy process modified by the addition of a secondary process of bounded variation on every finite interval. This martingale can be applied to queues and related stochastic storage models driven by a Lévy process. For example, the authors have applied this martinglae to derive the (non-product-form) steady-state distribution of a two-node tandem storage network with Lévy input and deterministic linear fluid flow out of the nodes.