Control of a finite dam when the input process is either spectrally positive Levy or spectrally positive Levy reflected at its infimum

2012/08/31 by Mohamed Abdel‐Hameed, Mohamed Abdel-Hameed, Abdel-Hameed, Mohamed
Economics, Econometrics and Finance · Engineering · Mathematics · Physics and Astronomy · #FOS: Mathematics #Probability (math.PR) #Quantum chaos and dynamical systems #Stability and Controllability of Differential Equations #Statistics Theory (math.ST) #Stochastic processes and financial applications #math.PR #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1208.6559

none. arXiv admin note: substantial text overlap with arXiv:1111.2923

arxiv created 2012/08/31 · openalex publication_date 2012/08/31 · arxiv updated 2012/09/03 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

Abstract

We consider the control of a finite dam when the input process is either spectrally positive Levy or spectrally positive Levy reflected at its infimum, using P(M,Lambda,tau) control policies. Our results extend and unify the results Bea et al (2003), Lam and Lou (1987), and Attia (1987). The techniques used by the above authors involve solving systems of differential or integral equations. Our methods of proof are based on the theory and methods of scale functions of Levy processes.

Citations

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

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