Accession Number : AD0616760

Title :   OBSERVING STOCHASTIC PROCESSES, AND APPROXIMATE TRANSFORM INVERSION.

Descriptive Note : Management sciences research rept.,

Corporate Author : CARNEGIE INST OF TECH PITTSBURGH PA GRADUATE SCHOOL OF INDUSTRIAL ADMINISTRATION

Personal Author(s) : Gaver,Donald P. ,Jr.

Report Date : JUN 1965

Pagination or Media Count : 29

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)

Descriptors :   (*STOCHASTIC PROCESSES, INTEGRAL TRANSFORMS), (*INTEGRAL TRANSFORMS, STOCHASTIC PROCESSES), (*QUEUEING THEORY, PROBABILITY), OPERATIONS RESEARCH, TIME

Distribution Statement : APPROVED FOR PUBLIC RELEASE