Solution of Deny convolution equation restricted to a half line via a random walk approach

A general solution of the Deny convolution equation restricted to a half line is obtained using certain concepts of random walk theory. The equation in question arises in several places in applied probability such as in queueing and storage theories and characterization problems of probability distributions. Some of the important applications are briefly discussed.

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Year of publication:	1988
Authors:	Alzaid, Abdulhamid A. ; Lau, Ka-Sing ; Rao, C. Radhakrishna ; Shanbhag, D. N.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 24.1988, 2, p. 309-329
Publisher:	Elsevier
Keywords:	Deny's equation ladder variables modified Rao-Rubin condition order statistics queueing systems random walk Wiener-Hopf factorization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006419