Bounds for a class of stochastic recursive equations

Bounds for a class of stochastic recursive equations

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Article ID: iaor20001740
Country: Germany
Volume: 49
Issue: 2
Start Page Number: 325
End Page Number: 333
Publication Date: Jan 1999
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors: , ,
Abstract:

In this note we develop a framework for computing upper and lower bounds of an exponential form for a class of stochastic recursive equations with uniformly recurrent Markov modulated inputs. These bounds generalize Kingman's bounds for queues with renewal inputs.

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