A non-increasing Lindley-type equation
Probability
2014-04-23 v1
Abstract
In this paper we study the Lindley-type equation . Its main characteristic is that it is a non-increasing monotone function in its main argument . Our main goal is to derive a closed-form expression of the steady-state distribution of . In general this is not possible, so we shall state a sufficient condition that allows us to do so. We also examine stability issues, derive the tail behaviour of , and briefly discuss how one can iteratively solve this equation by using a contraction mapping.
Cite
@article{arxiv.1404.5531,
title = {A non-increasing Lindley-type equation},
author = {Maria Vlasiou},
journal= {arXiv preprint arXiv:1404.5531},
year = {2014}
}
Comments
16 pages, 1 figure, 20 references