ON A GENERALIZATION OF THE STATIONARY EXCESS OPERATOR

Yoav Kerner; Andreas Löpker

doi:10.1017/S0269964814000308

ON A GENERALIZATION OF THE STATIONARY EXCESS OPERATOR

Yoav Kerner, Andreas Löpker

Department of Industrial Engineering and Management

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

We show that overshoots over Erlang random variables give rise to a natural generalization of the stationary excess operator and its iterates. The new operators can be used to derive expansions for the expectation Eg(X) of a non-negative random variable, similar to Taylor-like expansions encountered when studying stationary excess operators.

Original language	English
Pages (from-to)	219-232
Number of pages	14
Journal	Probability in the Engineering and Informational Sciences
Volume	29
Issue number	2
DOIs	https://doi.org/10.1017/S0269964814000308
State	Published - 2 Mar 2015

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Management Science and Operations Research
Industrial and Manufacturing Engineering

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abstract = "We show that overshoots over Erlang random variables give rise to a natural generalization of the stationary excess operator and its iterates. The new operators can be used to derive expansions for the expectation Eg(X) of a non-negative random variable, similar to Taylor-like expansions encountered when studying stationary excess operators.",

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ON A GENERALIZATION OF THE STATIONARY EXCESS OPERATOR

Abstract

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