Performance Analysis of Production Systems with Correlated Demand via Diffusion Approximations

Yingdong Lu

International Journal of Stochastic Analysis, 2012, vol. 2012, 1-12

Abstract:

We investigate the performance of a production system with correlated demand through diffusion approximation. The key performance metric under consideration is the extreme points that this system can reach. This problem is mapped to a problem of characterizing the joint probability density of a two-dimensional Brownian motion and its coordinate running maximum. To achieve this goal, we obtain the stationary distribution of a reflected Brownian motion within the positive quarter-plane, which is of independent interest, through investigating a solution of an extended Helmhotz equation.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:109417

DOI: 10.1155/2012/109417

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