Performance Analysis of Production Systems with Correlated Demand via Diffusion Approximations

Yingdong Lu
2012 International Journal of Stochastic Analysis  
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
more » ... er-plane, which is of independent interest, through investigating a solution of an extended Helmhotz equation.
doi:10.1155/2012/109417 fatcat:6ohagvlhhbcabmhmkfszbjwbze