Exact solution to a Lindley-type equation on a bounded support

Exact solution to a Lindley-type equation on a bounded support

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Article ID: iaor20073143
Country: Netherlands
Volume: 35
Issue: 1
Start Page Number: 105
End Page Number: 113
Publication Date: Jan 2007
Journal: Operations Research Letters
Authors: ,
Abstract:

We derive the limiting waiting-time distribution FW of a model described by the Lindley-type equation W=max{0,B-A-W}, where B has a polynomial distribution. This exact solution is applied to derive approximations of FW when B is generally distributed on a finite support. We provide error bounds for these approximations.

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