The minimum of a unit-release reservoir with Markovian inputs (Q1097596): Difference between revisions

A particular family of discrete storage models with unit release is considered where the inputs form an irreducible Markov chain. We derive the joint distribution of the minimum content of a dam and the first time to reach the minimum in some fixed, finite time interval. This mass function is written in terms of the first emptiness probabilities of the dam which were first determined by \textit{M. S. A. Khan} and \textit{J. Gani} [J. Appl. Probab. 5, 72-84 (1968; Zbl 0182.533)], but later generalized by \textit{P. J. Brockwell} and \textit{J. Gani} [J. Math. Anal. Appl. 32, 264- 273 (1970; Zbl 0209.196)]. An expression for the bivariate probability generating function of this random vector is also given. Moreover, an explicit expression for the joint density of the minimum and the first time to the minimum for Brownian motion with drift is given. This joint density is derived directly by taking appropriate limits on the joint mass function of the corresponding discrete random variables defined for a simple random walk, a special case of the more general content process considered earlier.