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### Minimal variance for phase-type distributions?

Let $\mathcal{D}(m)$ be the set of phase-type distributions constructed from $m+1$-state Markov chains. Recall that the coefficient of variation of a distribution $D$ is the ratio of the standard ...

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### A queuing process where customers must be detected

Imagine a scenario where customers arrive in some queue according to a Poisson process with rate parameter $\lambda_{arr}$, and where the process of responding to the customers has a kind of ...

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### M/G/1 queue - probability that waiting time is zero

so: I have a M/G/1-queue with Poisson arrivals with rate lambda=1 and the service time being the sum of two exp-distributed variables vith rates u1=1 and u2=2.
If we let Wq be the time an average ...

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### Having problems with solving Lindley's equation in G/G/1 queuing?

Lindley's integral equation is as follows
$$W(y)=\int_{u=-\infty}^{y}W(y-u)dC(u),$$for $y\ge0$;
and
$$W^{-}(y)=\int_{u=-\infty}^{y}W(y-u)dC(u)$$,for $y<0$.
So we have
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### Wiener-Hopf Integral/Lindley's Equation

Lindley's equation is well known within queueing theory and is as follows
$F(y) = - \int_0^\infty F(x)dH(y-x)$
However, many textbooks only consider the case where 0 $\le$ y $\le \infty$ (which ...

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### If Mean Residual Lifetime is approximately constant, Residual Lifetime is Approximately Exponential in a Strong Sense

Suppose the "mean residual lifetime," $\mathbb{E}[X-x|X≥x]$ is approximately constant for large $x$. Then, I believe that the conditional tail distribution is approximately exponential, in the sense ...

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### Comparing two Markov chains

I thought that this question is more appropriate for math.stackexchange, where I asked it, but seeing how I got no response, here it goes:
I am interested in the question of the positive recurrence ...

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### Are there interesting problems involving arbitrarily long time series of small matrices?

Are there well-known or interesting applied problems (especially of the real-time signal processing sort) where arbitrarily long time series of small (say $d \equiv \dim \le 30$ for a nominal bound, ...