Control of Dams When the Input Is a Levy Type Process

Details Control of Dams When the Input Is a Levy Type Process Control of Dams When the Input Is a Levy Type Process

2011-11-12

arxiv.org/abs/1111.2923v1

Mathematics

Statistics Theory

18 pages

Scientific paper

Zuckermann [10] considers the problem of optimal control of a finite dam assuming that the input process is Wiener with positive drift term \mu \geq 0. Lam and Lou [7] treat the case where the input is a Wiener process with a reflecting boundary at its infimum, with a positive drift term, using the long-run Average and total discounted cost criteria. Attia [3] obtains results similar to those of Lam and Lou, through simpler and more direct methods. Bae et al. [5] treat the long-run average cost case when the input process is a compound Poisson process with a negative drift. In this paper we unify and extend the results of these authors

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