Numerical Computation of the Moments of a Probability Distribution from its Transform

DOI10.1287/OPRE.44.2.368MaRDI QIDQ4888187zbMATH OpenOpenAlexFDO

Authors Gagan L. Choudhury, David M. Lucantoni

Publication date 28 October 1996

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.44.2.368

zbMATH Keywords

Laplace-Stieltjes transformmoment generating functionnumerical examplespriority queues

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)

Recommendations

• Computing distributions and moments in polling models by numerical transform inversion
• An algorithm to compute the waiting time distribution for the M/G/1 queue
• scientific article; zbMATH DE number 1424149
• Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
• A Simple and Efficient Algorithm to Compute Tail Probabilities from Transforms

Cited in

(19)

• Symbolic computation of moments of sampling distributions
• Dynamic server assignment in a two-queue model
• Class dependent departure process from multiclass phase queues: Exact and approximate analyses
• Asymptotic analysis of tail probabilities based on the computation of moments
• Recursive calculation of moments in priority queues
• Priority queueing systems: from probability generating functions to tail probabilities
• ApproximatingM/G/1 Waiting Time Tail Probabilities
• Interval random variables and their application in queueing systems with long-tailed service times
• A Proposal for a New Bound for Discrete Distributions
• A Simple and Efficient Algorithm to Compute Tail Probabilities from Transforms
• Computing distributions and moments in polling models by numerical transform inversion
• Moments of integrated exponential Lévy processes and applications to Asian options pricing
• Technical note -- On matrix exponential differentiation with application to weighted sum distributions
• Computing the moments of polling models with batch Poisson arrivals by transform inversion
• Exact simulation of the Hull and White stochastic volatility model
• Queues with correlated inter-arrival and service times
• Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
• Navigating supply shocks: sector resilience and production prices through stochastic input-output modeling
• Discrete distributions from moment generating function

This page was built for publication: Numerical Computation of the Moments of a Probability Distribution from its Transform

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4888187)