A note on the expected discounted cost of operating a finite dam

F. A. Attia

Stochastic Processes and their Applications, 1989, vol. 31, issue 1, 161-166

Abstract: A finite dam operated under the PM[lambda],[tau] policy (Attia, 1987; Lam and Lou, 1987) is considered. The input process to the dam is either (a) the integral of an irreducible Markov chain or (b) the geometric Wiener process exp{B(t)}, where B(t) is a Wiener process with drift [mu] > 0 and variance parameter [sigma]2. The expected discounted cost of operating the dam in the two cases (a) and (b) is obtained, and the relation between this cost and the long-run average cost per unit time is established.

Keywords: expected; discounted; cost; finite; dam; integral; of; a; Markov; chain; geometric; Wiener; process (search for similar items in EconPapers)
Date: 1989
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