A MARKOVIAN APPROACH TO THE FORWARD RECURRENCE TIME IN THE RENEWAL PROCESS

  • Kim, Jong-Woo (Statistical Research Center for Complex Systems, Seoul National University) ;
  • Lee, Eui-Yong (Department of Statistics, Sookmyung Woman′s University) ;
  • Shim, Gyoo-Cheol (Financial Engineering Research Center, Graduate School of Management, Korea Advanced Institute of Science and Technology)
  • Published : 2004.09.01

Abstract

A Markovian approach is introduced to find the Laplace transform of the forward recurrence time in the renewal process at finite time t > 0. Until now, most works on the forward recurrence time have been done through renewal arguments.

Keywords

References

  1. COLEMAN, R. (1982). 'The moments of forward recurrence time', European Journal of Operational Research, 9, 181-183 https://doi.org/10.1016/0377-2217(82)90070-4
  2. Cox, D. R. (1962). Renewal Theory, John Wiley & Sons, New York