Approximations for solutions of renewal-type equations

Konstadinos Politis and Susan M. Pitts

Stochastic Processes and their Applications, 1998, vol. 78, issue 2, 195-216

Abstract: Building on and extending the results of Gr, (J. Appl. Probab. 26, 296-303), approximation formulae for solutions of renewal-type equations are derived. These are obtained by finding the first and higher Fréchet derivatives of the functional that has the underlying lifetime density as input and a normalised version of the solution of the renewal-type equation as output. By approximating a density whose output is not known analytically by another density with easy ouput, we obtain explicit formulae for our approximations, which in many cases can be easily implemented on computer algebra software.

Keywords: Renewal; density; Renewal-type; equations; Phase-type; distributions; Frechet; derivatives; Banach; algebras (search for similar items in EconPapers)
Date: 1998
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