Useful martingales for stochastic storage processes with Lévy input

Useful martingales for stochastic storage processes with Lévy input

0.00 Avg rating0 Votes
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: ,
Keywords: stochastic processes, storage
Abstract:

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.

Reviews

Required fields are marked *. Your email address will not be published.