A two-factor stochastic production model with two time scales

Authors:
J. A. Filar;A. Haurie
Affiliations:
Centre for Industrial and Applicable Mathematics, School of Mathematics, University of South Australia, Mawson Lakes, SA, 5095, Australia;Dept. of Management Studies, University of Geneva,Uni-Mail 40 Boulevard du Pont d'Arve, CH-1211, Geneva 4, Switzerland
Venue:
Automatica (Journal of IFAC)
Year:
2001

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Abstract

A two-factor production model where one factor is characterized by a continuous state variable and corresponds to the fast mode via a controlled diffusion process, whereas the second factor is characterized by a discrete variable and corresponds to the slow mode via a controlled jump process.