FINITE MOMENTS FOR INVENTORY PROCESSES
成果类型：
Article
署名作者：
Sigman, Karl; Yao, David D.
署名单位：
Columbia University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004970
发表日期：
1994
页码：
765-778
关键词：
摘要：
We study a continuous time inventory process that is a reflection mapping of a semimartingale netput process. Inventory processes of this type include the workload process in queues, dam and storage processes (with perhaps pure jump Levy input), as well as processes arising in fluid models. We establish sufficient conditions on the netput ensuring that the steady-state inventory has finite moments of order k 1, and derive explicit bounds for these moments. The sufficient conditions require that the netput have a negative (local) drift and that the (conditional) (k + 1)th moment of its increments be bounded.