Performance Analysis of Production Systems with Correlated Demand via Diffusion Approximations | Zendy

Yingdong Lu | Zendy

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Performance Analysis of Production Systems with Correlated Demand via Diffusion Approximations

Author(s) -

Yingdong Lu

Publication year - 2012

Publication title -

international journal of stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.19

H-Index - 28

eISSN - 2090-3340

pISSN - 2090-3332

DOI - 10.1155/2012/109417

Subject(s) - mathematics , brownian motion , metric (unit) , diffusion , wasserstein metric , diffusion process , stationary distribution , plane (geometry) , mathematical optimization , mathematical analysis , statistical physics , computer science , statistics , geometry , physics , innovation diffusion , knowledge management , operations management , economics , thermodynamics , markov chain

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

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