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International Journal of Stochastic Analysis
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Performance analysis of production systems with correlated demand via diffusion approximations

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Abstract

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. © 2012 Yingdong Lu.

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International Journal of Stochastic Analysis

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