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On a reflected Ornstein-Uhlenbeck process with an application

Published online by Cambridge University Press:  17 April 2009

F.A. Attia
F.A. Attia
Affiliation:
Department of Mathematical Sciences, Portland State University, PO Box 751, Portland OR 97207-0751, United States of America
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Abstract

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The resolvent operator and the moment generating function of a reflected Ornstein-Uhlenbeck process are obtained. These results are then applied to determine the long-run average cost and the total expected discounted cost of operating a finite storage system with content-dependent release rate.

Information

Type
Research Article
Information
Bulletin of the Australian Mathematical Society , Volume 43 , Issue 3 , June 1991 , pp. 519 - 528
Copyright
Copyright © Australian Mathematical Society 1991

References

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