Observing Stochastic Processes, and Approximate Transform Inversion

D. P. Gaver
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D. P. Gaver: Carnegie Institute of Technology and Westinghouse Electric Co., Pittsburgh, Pennsylvania

Operations Research, 1966, vol. 14, issue 3, 444-459

Abstract: This paper describes a method for obtaining numerical information concerning the time-dependent behavior of stochastic processes such as those arising in queuing theory. The method leads to an approximate inverse of the Laplace transform. Examples are given of applications to transforms with known inverses, and the evolution of expected waiting time at a simple single-server queue is illustrated, both when there is a stationary solution and in the saturated case.

Date: 1966
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:14:y:1966:i:3:p:444-459

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