Open-loop control of stochastic fluid systems and applications - Archive ouverte HAL Access content directly
Journal Articles Operations Research Letters Year : 2007

Open-loop control of stochastic fluid systems and applications

Bruno Gaujal

Abstract

We consider a stochastic process Q(t) satisfying a linear differential equation, driven by a jump process which is modulated by a binary sequence. We prove multimodular properties related to the process Q(t) and apply those results to optimal strategies in storage systems models and in ruin problems.

Dates and versions

hal-00488298 , version 1 (01-06-2010)

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Bruno Gaujal, Landy Rabehasaina. Open-loop control of stochastic fluid systems and applications. Operations Research Letters, 2007, 35 (4), pp.Pages 455-462. ⟨10.1016/j.orl.2006.07.005⟩. ⟨hal-00488298⟩
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