Control of Dams UsingPλ,τMPolicies When the Input Process Is a Nonnegative Lévy Process

[摘要] We considerPλ,τMpolicy of a dam in which the water input is an increasing Lévy process. The release rate of the water is changed from 0 toMand fromMto 0(M>0)at the moments when the water level upcrosses levelλand downcrosses levelτ  (τ<λ), respectively. We determine the potential of thedam content and compute the total discounted as well as the long-run average cost. We also find the stationary distribution of the dam content. Our results extend the results in the literature when the water input is assumed to be a Poisson process.

[学科分类] 应用数学