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math.PR2019
Synchronized Lévy queues
Offer Kella, Onno Boxma
We consider a multivariate Lévy process where the first coordinate is a Lévy process with no negative jumps which is not a subordinator and the others are nondecreasing. We determi…
math.PR2019
Steady-state optimization of an exhaustive Levy storage process with intermittent output and random output rate
Royi Jacobovic, Offer Kella
Consider a regenerative storage process with a nondecreasing Lévy input (subordinator) such that every cycle may be split into two periods. In the first (off) the output is shut of…
math.PR2019
Minimizing a stochastic convex function subject to stochastic constraints and some applications
Royi Jacobovic, Offer Kella
In the simplest case, we obtain a general solution to a problem of minimizing an integral of a nondecreasing right continuous stochastic process from zero to some nonnegative rando…