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International Conference on Distributed Computer and Communication Networks

DCCN 2018: Distributed Computer and Communication Networks pp 365–376Cite as

Reliability of a Discrete-Time System with Investment

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Part of the book series: Communications in Computer and Information Science ((CCIS,volume 919))

Abstract

We consider a discrete-time model describing the capital of an input-output system of mixed type. Such models can arise in various applications of probability theory, e.g. queuing and reliability theory, telecommunication, inventories and dams, insurance and many others. The inflow consists of constants, whereas outflow is a sequence of independent identically distributed random variables with a known distribution function. It is also assumed that at the beginning of each period the company under consideration invests a certain quota of the available capital in a non-risky asset for a fixed number of periods. The objective function is the system reliability. Thus, we establish the formula for company ruin probability, in other words, the probability that sooner or later its capital becomes negative. Some numerical results are also provided.

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Acknowledgement

This research is partially supported by RFBR grant No. 17-01-00468.

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Authors and Affiliations

  1. Lomonosov Moscow State University, Leninskie Gory 1, 119234, Moscow, Russia

    Ekaterina Bulinskaya & Andrey Kolesnik

Authors
  1. Ekaterina Bulinskaya
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  2. Andrey Kolesnik
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Corresponding author

Correspondence to Ekaterina Bulinskaya .

Editor information

Editors and Affiliations

  1. V.A. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

    Vladimir M. Vishnevskiy

  2. V.A. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

    Dmitry V. Kozyrev

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Bulinskaya, E., Kolesnik, A. (2018). Reliability of a Discrete-Time System with Investment. In: Vishnevskiy, V., Kozyrev, D. (eds) Distributed Computer and Communication Networks. DCCN 2018. Communications in Computer and Information Science, vol 919. Springer, Cham. https://doi.org/10.1007/978-3-319-99447-5_31

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  • DOI: https://doi.org/10.1007/978-3-319-99447-5_31

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-99446-8

  • Online ISBN: 978-3-319-99447-5

  • eBook Packages: Computer ScienceComputer Science (R0)

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