English

A non-increasing Lindley-type equation

Probability 2014-04-23 v1

Abstract

In this paper we study the Lindley-type equation W=max{0,BAW}W=\max\{0, B - A - W\}. Its main characteristic is that it is a non-increasing monotone function in its main argument WW. Our main goal is to derive a closed-form expression of the steady-state distribution of WW. 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 WW, 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

R2 v1 2026-06-22T03:55:51.356Z