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Optimal processing rate and buffer size of a jump-diffusion processing system

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  • Xindan Li
  • Dan Tang
  • Yongjin Wang
  • Xuewei Yang

Abstract

In this paper, we propose a reflected jump-diffusion model for processing systems with finite buffer size. We derive an analytic expression for the total expected discounted managing cost, which facilitates finding (numerically) the optimal processing rate and buffer size that minimize the total cost. Moreover, the formula for steady-state density of the processing system is obtained. Copyright Springer Science+Business Media New York 2014

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  • Xindan Li & Dan Tang & Yongjin Wang & Xuewei Yang, 2014. "Optimal processing rate and buffer size of a jump-diffusion processing system," Annals of Operations Research, Springer, vol. 217(1), pages 319-335, June.
    • Handle: RePEc:spr:annopr:v:217:y:2014:i:1:p:319-335:10.1007/s10479-013-1521-2
    DOI: 10.1007/s10479-013-1521-2
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    1. Noba, Kei, 2021. "On the optimality of double barrier strategies for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 73-102.

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