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A new approach to the Lindley recursion

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  • Stadje, Wolfgang

Abstract

We consider the standard Lindley recursion for integer-valued random variables. A new method for determining the corresponding distributions is presented which in the case when the involved random variables are bounded from below, say by -K, K [epsilon] K, reduces to the solution of a (K x K)-system of linear equations. The stationary distribution is also obtained by this approach.

Suggested Citation

  • Stadje, Wolfgang, 1997. "A new approach to the Lindley recursion," Statistics & Probability Letters, Elsevier, vol. 31(3), pages 169-175, January.
    • Handle: RePEc:eee:stapro:v:31:y:1997:i:3:p:169-175
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    Cited by:

    1. 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.
    2. Filip Lindskog & Mario V. Wuthrich, 2024. "Claims processing and costs under capacity constraints," Papers 2409.09091, arXiv.org.

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