Fluctuations of random walk in R
d and storage systems
1977 ◽
Vol 9
(03)
◽
pp. 566-587
◽
Keyword(s):
Two Wiener-Hopf type factorization identities for multivariate distributions are introduced. Properties of associated stopping times are derived. The structure that produces one factorization also provides the unique solution of the Wiener-Hopf convolution equation on a convex cone in R d . Some applications for multivariate storage and queueing systems are indicated. For a few cases explicit formulas are obtained for the transforms of the associated stopping times. A result of Kemperman is extended.
Keyword(s):
2013 ◽
Vol 50
(3)
◽
pp. 612-631
◽
Keyword(s):
2013 ◽
Vol 50
(03)
◽
pp. 612-631
◽
Keyword(s):