We investigate a storage model where the input and the demand are
additive functionals on a Markov chain J. The storage policy is to meet
the largest possible portion of the demand. We first derive results for the net
input process embedded at the epochs of transitions of J, which is a
Markov random walk. Our analysis is based on a Wiener-Hopf factorization for
this random walk; this also gives results for the busy period of the storage
process. The properties of the storage level and the unsatisfied demand are
then derived.
Publié le : 1996-02-14
Classification:
Additive functional,
busy period,
communication systems,
integral equation,
Markov-additive processes,
Markov random walk,
storage models,
Wiener-Hopf factorization,
60K330,
60J15,
60J25
@article{1034968066,
author = {Pacheco, Ant\'onio and Prabhu, N. U.},
title = {A Markovian storage model},
journal = {Ann. Appl. Probab.},
volume = {6},
number = {1},
year = {1996},
pages = { 76-91},
language = {en},
url = {http://dml.mathdoc.fr/item/1034968066}
}
Pacheco, António; Prabhu, N. U. A Markovian storage model. Ann. Appl. Probab., Tome 6 (1996) no. 1, pp. 76-91. http://gdmltest.u-ga.fr/item/1034968066/