Solving probability transform functional equations for numerical inversion

Solving probability transform functional equations for numerical inversion

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Article ID: iaor19931215
Country: Netherlands
Volume: 12
Issue: 5
Start Page Number: 275
End Page Number: 281
Publication Date: Nov 1992
Journal: Operations Research Letters
Authors: ,
Abstract:

Many methods for numerically inverting transforms require values of the transform at complex arguments. However, in some applications, the transforms are only characterized implicitly via functional equations. This is illustrated by the busy-period distribution in the M/G/1 queue. In this paper the authors provide conditions for iterative methods to converge for complex arguments. Moreover, they show that stochastic monotonicity properties can provide useful bounds.

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