First exit times for compound Poisson dams with a general release rule

Jiyeon Lee ()

Mathematical Methods of Operations Research, 2007, vol. 65, issue 1, 169-178

Abstract: An infinite dam with compound Poisson inputs and a state-dependent release rate is considered. For this dam, we solve Kolmogorov’s backward differential equation to obtain the Laplace transforms of the first exit times in terms of a certain positive kernel. This allows us to provide an explicit expression for the Laplace transform of the wet period for a finite dam. Copyright Springer-Verlag 2007

Keywords: First exit times; Compound Poisson dams; Wet periods; Laplace transforms (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00186-006-0111-3

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