OBSERVING STOCHASTIC PROCESSES, AND APPROXIMATE TRANSFORM INVERSION.
Abstract
This paper describes a probabilistic interpretation of the Laplace transform solutions of problems arising in applied probability, e.g., congestion theory. The interpretation is adapted for automatic computation, and is supplemented by an 'extrapolation to the limit' procedure to obtain approximate values for inverse transforms. The approximations are examined for functions with known inverses, and appear satisfactory. The method is applied to study the time-dependent evolution of the expected waiting time at a single-server queue; the results obtained are compared to those derived from asymptotic formulas and exhibit satisfactory agreement. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1965
- Accession Number
- AD0616760
Entities
People
- Donald P. Gaver Jr.
Organizations
- Carnegie Institute of Technology