Accession Number:

ADA025728

Title:

Diffusion Bounds for some Passage Probabilities in the Theory of Storage.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CALIF DEPT OF OPERATIONS RESEARCH

Personal Author(s):

Report Date:

1976-02-01

Pagination or Media Count:

12.0

Abstract:

A storage process Xt is considered with general jump size distribution, non-decreasing state-dependent output rate, and non-increasing state-dependent jump intensity. The object of study is Ux, the probability that state zero is never reached when starting from state x 0. The natural diffusion approximation for Xt is identified. An explicit formula is known for U sub of x, the probability that the approximating diffusion process never reaches state zero when starting from state x 0. It is shown that U sub or U and a conjecture is advanced regarding conditions under which this bound is tight.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE