An extension of Hewitt's inversion formula and its application to fluctuation theory

E.S. Badila

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Samenvatting

We analyze fluctuations of random walks with generally distributed increments. Integral representations for key performance measures are obtained by extending an inversion theorem of Hewitt [11] for Laplace-Stieltjes transforms. Another important part of the anal- ysis involves the so-called harmonic measures associated to the distribution of the increment of the walk. It is also pointed out that such representations can be explicitly calculated, if one assumes a form of rational structure for the increment transform. Applications include, but are not restricted to, queueing and insurance risk problems.
Originele taal-2Engels
Plaats van producties.l.
Uitgeverijs.n.
Aantal pagina's20
StatusGepubliceerd - 2015

Publicatie series

NaamarXiv
Volume1508.00751 [math.PR]

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  • Citeer dit

    Badila, E. S. (2015). An extension of Hewitt's inversion formula and its application to fluctuation theory. (arXiv; Vol. 1508.00751 [math.PR]). s.n.