The Beneš equation and stochastic calculus of variations

L. Decreusefond; A. S. Üstünel

doi:10.1016/0304-4149(94)00058-2

The Beneš equation and stochastic calculus of variations

L. Decreusefond
, A. S. Üstünel

Telecom Paris

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

We focus our attention on the Beneš 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.

langue originale	Anglais
Pages (de - à)	273-284
Nombre de pages	12
journal	Stochastic Processes and their Applications
Volume	57
Numéro de publication	2
Les DOIs	https://doi.org/10.1016/0304-4149(94)00058-2
état	Publié - 1 janv. 1995

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10.1016/0304-4149(94)00058-2

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title = "The Bene{\v s} equation and stochastic calculus of variations",

abstract = "We focus our attention on the Bene{\v s} 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.",

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author = "L. Decreusefond and {\"U}st{\"u}nel, \{A. S.\}",

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AU - Üstünel, A. S.

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AB - We focus our attention on the Beneš 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.

KW - Beneš equation

KW - Malliavin calculus

KW - Reflection Theory

U2 - 10.1016/0304-4149(94)00058-2

DO - 10.1016/0304-4149(94)00058-2

M3 - Article

AN - SCOPUS:58149363716

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SP - 273

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JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

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ER -

The Beneš equation and stochastic calculus of variations

Résumé

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