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Bounds for a class of stochastic recursive equations

Author

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  • Zhen Liu
  • Philippe Nain
  • Don Towsley

Abstract

In this note we develop a framework for computing upper and lower bounds of an exponential form for a class of stochastic recursive equations with uniformly recurrent Markov modulated inputs. These bounds generalize Kingman's bounds for queues with renewal inputs. Copyright Springer-Verlag Berlin Heidelberg 1999

Suggested Citation

  • Zhen Liu & Philippe Nain & Don Towsley, 1999. "Bounds for a class of stochastic recursive equations," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 49(2), pages 325-333, April.
    • Handle: RePEc:spr:mathme:v:49:y:1999:i:2:p:325-333
    DOI: 10.1007/PL00020920
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    Cited by:

    1. Alexander Novikov & Albert Shiryaev, 2004. "On an Effective Solution of the Optimal Stopping Problem for Random Walks," Research Paper Series 131, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Stadje, Wolfgang, 2000. "An iterative approximation procedure for the distribution of the maximum of a random walk," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 375-381, December.

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