The Benes equation and stochastic calculus of variations
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.
Year of publication: |
1995
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Authors: | Decreusefond, L. ; Üstünel, A. S. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 57.1995, 2, p. 273-284
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Publisher: |
Elsevier |
Keywords: | Benes equation Malliavin calculus Reflection Theory |
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