Performance Analysis of Production Systems with Correlated Demand via Diffusion Approximations

Abstract EN

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.