The Benes equation and stochastic calculus of variations

L. Decreusefond and A. S. Üstünel

Stochastic Processes and their Applications, 1995, vol. 57, issue 2, 273-284

Abstract: We focus our attention on the Benes equation which describes the behavior of the virtual waiting time in the most general single queue. Using the reflection theory and the stochastic calculus of variations, we derive new results on this equation. In particular, we give a criterion on the input stream under which the solution has an absolutely continuous law with respect to the Lebesgue measure.

Keywords: Benes; equation; Malliavin; calculus; Reflection; Theory (search for similar items in EconPapers)
Date: 1995
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(94)00058-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:57:y:1995:i:2:p:273-284

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().