A tandem storage system and its diffusion limit

J. Michael Harrison and L. A. Shepp

Stochastic Processes and their Applications, 1984, vol. 16, issue 3, 257-274

Abstract: We consider a two-dimensional diffusion process Z(t) = [Z1(t), Z2(t)] that lives in the half strip {0 [less-than-or-equals, slant] Z1 [less-than-or-equals, slant] 1, 0 [less-than-or-equals, slant] Z2 [infinity], and the marginal distributions of F are computed explicitly. The marginal limit distribution for Z1 is uniform (this result is essentially trivial), but that for Z2 is much more complicated.

Keywords: tandem; queues; Wiener-Hopf; technique; storage; theory; reflected; Brownian; motion; diffusion; processes (search for similar items in EconPapers)
Date: 1984
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Citations: View citations in EconPapers (2)

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