Appendix A

Laplace-Stieltjes Transforms

A.1

Laplace-Stieltjes Transforms

Let F(t} be a well-defined function of t specified for t ~ 0 and s be a complex

number. If the following Stieltjes integral:

(ALI)
converges on some So. the Stieltjes integral (A.LI) converges on s such that
~(s) > ~(so). The integral (A.LI) is called the Laplace-Stieltjes transform of
F(t). If the real function F(t) can be expressed in terms of the following integral:

F(t)

= lot dF(x) = lot f(x)dx,

(AL2)

then

(AL3)
which is called the Laplace transform of f (t).
Noting that F(t) is in one-t~one correspondence with F*(s) (ref. Theorem
2.2.2 and Table 2.2.2), F(t) can be uniquely specified by F*(s). The inversion
formula for obtaining F{t) from F*{s) can be given by

F(t)

1
= c-oo
lim - .
211"z

l+

b ic eat

b-ic

-F*(s)ds,
S

(AI.4)

where i = A is an imaginary unit, b > ma.x(u,O} and u is a radius of convergence.

The following two theorems are well-known and of great use as the limit
theorems for the Lapla.ce-Stieltjes transform F*(s) of F(t).

APPENDIX A. LAPLACE-STIELTJES TRANSFORMS

242

Theorem A.l (An Abelian Theorem) If for some non-negative number a,

lim F(t) =

(A.l.5)

lim so. F*(s) = C,

(A.l.6)

to.

t-+oo

r(a+1)'

then
8-++0

where r(k) =

10

e-xxk-1dx is a gamma function of order k defined in Eq.(2.4.13).

00

Theorem A.2 (A Tauberian Theorem) If F(t) is non-decreasing and the LaplaceStieltjes transform

F*(s) =
converges for

10

00

e- 8t dF(t)

(A.l.7)

> 0, and if for some non-negative number a,

~(s)

lim so. F*(s) = C,

(A.l.8)

8-++0

then
lim F(t)

to.

t-+oo

r(a+1)

(A.l.9)

Exampe A.l.l (Elementery Renewal Theorem) The Laplace-Stieltjes transform of the renewal function is given in Eq.(4.2.15):

M*( ) =
s

F*(s)

1 - F*(s)'

where F*(s) is the Laplace-Stieltjes transform of F(t). Let us apply Theorem

A.2.

We have
lim sM*(s) = lim

8-++0

8-++0

F*(s)
[1 - F*(s)]/s

1
J.'

since

and
lim F*(s)

8-+0

= l.

That is, from the Tauberian Theorem, we have

lim M(t) =
t-+oo

.!:..
J.

A.2. PROPERTIES OF LAPLACE-STIELTJES TRANSFORMS

A.2

243

Properties of Laplace-Stieltjes Transforms

For the Laplace-Stieltjes transform, we have the following relationship:

(A.2.1)
That is, the Laplace-Stieltjes transform F* (s) can be obtained by s times the
Laplace transform of F(t). We can easily obtain the Laplace-Stieltjes transforms
from the corresponding Laplace transforms, since most textbooks only discuss
the latter.
Table A.l shows the the general properties of the Laplace-Stieltjes transforms.
The general properties in Table A.l can be applied in practice. Besides the
general properties in Table A.l, Table A.2 shows the important formulas for the
Laplace-Stieltjes transforms. Such formulas in Table A.2 can be applied to derive
the Laplace-Stieltjes transform F*(s) from F(t), and vice versa.

Table A.l

General properties of the Laplace-Stieltjes transforms.

F(t)
Fl(t)

+ F2 (t)

F*(s) = 1~ e-stdF(t)
F;(s) + F;(s)

aF(t)

aF*(s)

F(t - a) (a> 0)

e-saF*(s)

F(at) (a> 0)

F*(s/a)
s
--F*(s+a)
s+a
s[F*(s) - F(O)]
-s dF(s)
ds
!F*(s)
s

e- at F(t) (a> 0)
F'(t) = dF(t)
dt
tF'(t)

F(x)dx
tOt
F(t)(dtt

10 10

lim F(t)

t-++O

lim F(t)

t-+oo

~F*(s)
sn

lim F*(s)

s-+oo

lim F*(s)

s-++O

244

APPENDIX A. LAPLACFrSTIELTJES TRANSFORMS

Table A.2

Formulas of the Laplace-Stieltjes Transforms

F(s) =

F(t)
6(t - a)t

(a > 0)

se- SO

l(t - a)*

(a> 0)

e- SO

l(t)

t n (n : a positive integer)
t a (a> -1)

e-at

(a> 0)

te-at

(a> 0)

tne- at

(a> 0)

tfje- at

(a> 0,{3 > -1)

cos at
sin at
cosh at
sinh at

logt

8t

dF(t)

1
1
s
n!
-sn
r(a + 1)
sa
s
s+a
s
(s + a)2
n!s
(s + a)n+1
sr({3 + 1)
(s + a)fj+1

LX) e-

S2

+a2
sa
82 +a2
82
S2 - a 2
sa
82 - a 2
S2

(!R(s) >1 a I)
(!R(8) >1 a I)
(!R(8) >1 a I)
(!R(8) >1 a I)

-"'( -logs

Dirac's delta function.

Heaviside's unit function.
"'( = 0.57721 ... , Euler's constant.

245

A.3. APPLICATIONS TO DISTRiBUTIONS

A.3

Applications to Distributions

We discuss the Laplace-Stieltjes transforms of the distributions. As shown in

Section 2.3, we have introduced six common discrete distributions. We derive
the Laplace-Stieltjes transforms for a few discrete distributions.

Example A.3.1 (Binomial distribution)

= ~ e-s:c (:) p:cqn-:c = (pe-s + qt .

Fi(s}

(A.3.1)

Applying the formulas for the moments, we have

E[X]

= (_I}dFx(s) I = np,

E[X2]

ds

(A.3.2)

s=o

= (_1)2 cPF*(S}1
x2
ds

s=o

= n(n -

l}p2 + np,

(A.3.3)

which imply

Var(X)

= E[X2] -

E[X]2

= npq.

(A.3.4)

Example A.3.2 (Geometric distribution)

(A.3.5)

Example A.3.3 (Negative binomial distribution)

F*(s}=~e-s:c(X-l)
~

X -

r :c-r= [1 -pe-s
]r
qe-

pq

(A.3.6)

As shown in Example 2.3.2, if Xl, X 2 , ,Xr are independent and identically distributed random variables with Xi '" GEO(p) , the random variable
Sr = Xl + X 2 + ... + Xr is distributed with the negative binomial distribution
Sr '" N B(p, r). Here we have verified this fact by using the Laplace-Stieltjes
transforms.
We next show the Laplace-Stieltjes transforms for the continuous time distributions in Section 2.4.

Example A.3.4 (Exponential distribution)

F.i(s}

JO

e-stdFx(t}

roo e- st ~e->'tdt = _~_.

s+~

(A.3.7)

Applying the formulas for the moments, we have

E[X] = (_I}dFx(s)
ds

s=O

l/~,

(A.3.8)

246

APPENDIX A. LAPLACE-STIELTJES TRANSFORMS

(A.3.9)
which imply
2

(A.3.1O)

>.2 - >.2 = >.2'

Var(X) =

Example A.3.5 (Gamma distribution)

(A.3.11)
Applying the formulas for the moments, we have

(A.3.12)
Var(X)

(A.3.13)

= >.2'

Example A.3.6 (Equilibrium distribution)

In Chapter 4, we have introduced the equilibrium distribution in Eq.( 4.3.44):

Fe(t) = -1
J.t

lot [1 0

F(y)] dy,

(A. 3.14)

where J.t is the mean of F(t). The Laplace-Stieltjes transform of Fe(t) is given
by

F;(s) =
=

fo'X) e- st

dFe(t)

~ t'" e- st
J.tS io

d [1 - F(t)]

=~[I-F*(s)].
J.tS

A.4

(see Table A.l)

(A.3.15)

Applications to Differential Equations

Example A.4.1 (Example 6.4.5) We have discussed a two-state Markov chain

whose Kolmogorov's forward equations are given by
P~o(t)

= ->.Poo(t) + J.tP01(t),

P~l(t) = >.Poo(t) - J.tPOl(t),

(A.4.1)
(A.4.2)

AA. APPLICATIONS TO DIFFERENTIAL EQUATIONS

with the initial conditions that Poo(O)

10

P;is) =

00

= 1 and POI (0) = o.

247

Let

(A.4.3)

e- st dPoj(t)

be the Laplace-Stieltjes transforms of POj(t) (j = 0,1). Noting the initial conditions and using Table A.l, we have the Laplace-Stieltjes transform expressions
for Eqs.(A.4.1) and (A.4.2):

sP;O(s) - s = -AP;o(s) + JLP;1(S),

(A.4.4)

SP;1(S) = AP;o(s) - JLP;1(S),

(A.4.5)

whose solutions are given by

P.* ( )
s + JL
00 s = s+A+JL

s
+ _JL_. A + JL
s+A+JL A+JL s+A+JL'

(A.4.6)

P.*()
A
A
A+JL
(A.4.7)
01 s = S + A + JL - A + JL . s + A + JL .
Applying the formulas in Table A.2, we have the following inversions of the
Laplace-Stieltjes transforms:

+ _A_ e-(>'+I')t,

(A.4.8)

A e -(>.+)t
POI (t ) = -A- - - 1',

(A.4.9)

POO(t) = _JL_
A+JL
A+JL

A+JL

A+JL

which have been given in Example 6.4.5.

Example A.4.2 (M/M/2/2/2 queueing modeD

We have discussed an
M/M/c/c/c queueing model with finite population in Section 9.4 in general.
We restrict ourselves to a case of c = 2 (i.e., 2 machines). Let QOj(t) be the
probabilities that (2 - j) machines are operating at time t given that 2 machines
are operating at t = 0, where j = 0,1,2. Kolmogorov's forward equations are
given by
Q~O(t)

= -2AQoo(t) + JLQ01 (t),

Q~1(t) = 2AQoo(t) - (A + JL)Q01(t)

Q~2(t) =

(A.4.1O)

+ 2JLQ02(t) ,

AQOl(t) - 2JLQ02(t),

(A.4.11)
(A.4.12)

with the initial conditions Qoo(O) = 1 and QOj(O) = 0 (j = 1,2). Let

Q~j(s)

fooo e- st dQoj(t)

(A.4.13)

be the Laplace-Stieltjes transforms of QOj(t) (j = 0,1,2). The Laplace-Stieltjes

transform expressions for Eqs.(A.4.lO), (A.4.l1), and (A.4.12) are given by
sQ~(s)

- s = -2AQ~(s) + JLQ~1(S),

(A.4.14)

APPENDIX A. LAPLACE-STIELTJES TRANSFORMS

248

(A + /-l)Q~l(S)

SQ~l (s)

= 2AQ~O(S) -

SQ~2(S)

= AQ~l(S) - 2/-lQ~2(S).

+ 2/-lQ~2(S),

(A.4.15)
(A.4.16)

Solving with respect to Qoo(s), we have

*
S2 + (A + 3/-l)s + 2/-l2
Qoo(s) = (s + A + /-l) [s + 2(A + /-l)]
= 1-

2A/-l
A + /-l
(A + /-l)2 s + A+ /-l

A2
2(A+/-l)
(A + /-l)2 . S + 2(A + JL)"

(A.4.17)

where the last equation has been derived by applying the partial fraction expansion (or decomposition). Applying the formulas in Table A.2, we have the
following inversion of the Laplace-Stieltjes transform in Eq.(A.4.17):

(A.4.18)
where Poo(t) has been given in Eq.(A.4.8). Of course, Eq.(A.4.18) can be easily
derived by considering two MIMl11111 queueing models in parallel (cf. Section
9.4). Similarly, we have the following Laplace-Stieltjes transforms:

(A.4.19)

Q~2(S)

2A2
= (s + A + JL) [s + 2(A + JL)]'

(A.4.20)

which imply

Q01(t) = 2POO (t)P01 (t),

(A.4.21)
(A.4.22)

where Poo(t) and P01 (t) have been given in Eqs.(A.4.8) and (A.4.9), respectively.

A.5. APPLICATIONS TO RENEWAL FUNCTIONS

A.5

249

Applications to Renewal Functions

In Chapter 4 we have developed renewal processes. Let {N(t), t ~ O} be a

renewal process with interarrival distribution F(t). The renewal function is given
by

M(t) = E [N(t)] =

00

n=l

F(n)(t).

(A.5.I)

The Laplace-Stieltjes transform of MCt) is given by

M*(s) =

F*(s)

(A.5.2)

1 - F*(s) ,

where F*Cs) is the Laplace-Stieltjes transform of F(t).

Example A.5.1
If we assume that F(t) obeys a gamma distribution, i.e.,
Xi '" GAM('x, k) in general (k is a positive integer), we have the LaplaceStieltjes transforms of F(t) and M(t), respectively:

F*(s) =
M * (s) -_

c~'xr,
(sh) k
1 - (8~>')

(A.5.3)

_
k -

(1 + f)

-1

(A.5.4)

Let r = e be all the distinct roots of an equation Sk = 1, where r =

0,1,2,, k - 1. By applying the partial fraction expansion, we have

M*Cs) =

.!

'xr
.
kr=os+,X(I-r)

CA.5.5)

By inversion, we have
,Xt

MCt) = k

1 k-l

+-

_r_

k r=l 1 - r

[1- e->.t(l-er )] ,

(A.5.6)

which has been given in Example 4.2.3.

Example A.5.2

F(t)

If we assume that

= 1 - ~ (e->.t + e- 2>'t) ,

(A.5.7)

we have the Laplace-Stieltjes transform of F(t):

rcs) =

1_

.! (_S_ + _S_) .
2

s +,X

s + 2,X

CA.5.8)

APPENDIX A. LAPLACE-STIELTJES TRANSFORMS

250

The Laplace-Stieltjes transform of M(t) is given by

M*(s) =

F*(s)

1 - F*(s)

+ 4>.2
s(2s + 3>')
3>.s

= 4>.

3s

+ !.

3>./2
9 s + 3>./2

(A.5.9)

by applying the partial fraction expansion. By inversion (i.e., applying the formulas in Table A.2), we have

a) .

4>.t
M(t) = """3
+ 91 ( 1 -

(A.5.1O)

e-"2 At

Example A.5.3 If we assume that F(x) obeys a negative binomial distribution

of order 2 (refer to Section 2.3), we have the following Laplace-Stieltjes transform:

F* (s) =

(--'pe=---_S_)
1 - qe- S

(A.5.11)

The Laplace-Stieltjes transform M*(s) of the renewal function M(x) is given by

M*(s) =

F*(s)

1 - F*(s)

= pe2-

[l_le _ s -

f: !!. [1 -

n=12

1- (1

~ 2P)e- s ]

(1 - 2ptl e-s(n+l),

(A.5.12)

which implies the (discrete) renewal density

m(x)

= ~ [1- (1- 2p)X-l]

(x

= 2,3, .).

(A.5.13)

That is, the (discrete) renewal function is given by

00

M(x) = Lm(j)
j=2

p; - ~ + (1-42P)X

(see Problems 4.4 and 4.5).

(x

= 2,3,)

(A.5.14)

Appendix B
Answers to Selected Problems

Problems 1
1.2

(i) ABccc,

Au B u C,

(ii)

(iii) AB u AC U BC,

(v)ABCC CU ACBCc uN BCC,

(iv) ABC,

(vi) ABc U ABcC U A BC = (AB U AC U BC) - ABC,

C

(vii) NWCc,

(viii)

(ABC)c.

1.5

(i)

P{A I B} = 1/3,

(ii)

P{B I A}

= 1/4,

(iv)

P{B - A} = 1/6.

(i)

(3x 2 - 2y)3 = 27x6

(ii)

(4x + 3y2)3 = 64x 3 + 144x 2y2 + 108xy 4 + 27y 6.

1.9
-

54x 4 y + 36x2y2 - 8y3,

1.10

(51)

(~)

= 921,200 ways.

(iii)

P{A - B}

= 1/4,

APPENDIX B. ANSWERS TO SELECTED PROBLEMS

252

1.12

(ii) 27 ways.
1.13

(ii) 20 ways.
1.14

nr

distinguisable ),

( n+sS-l)

(indistinguisable) .

1.15

Problems 2
2.7
n

1
2
3
4
5
6
7
8
9
10
11

2.14

(1') E[X] = \ 1 \ '

1\1 + 1\12

Theoretical values
18.27
13.81
10.44
7.89
5.96
4.51
3.41
2.57
1.95
1.47
1.11

Data
14
12
12
8
7
4
2
4
4
3
2

253
Problems 3
3.3

(i)

(9: 00 a.m.),

t = 0

E[N(9)]

= 9 (6: 00 p.m.),

= At = 90 persons,

Var(N{9)) = At = 90 persons 2

(U) P{N(O.5)

= O} = e- 5 = 0.00674.

3.4
(i)

P{N(30) = O} = e- 5 ,

P{N(30)

= I} = 5e- 5 ,

P{N(30) = 2} = 25e- 5
2 .
(ii)

Upper limit 90 + 3V90 = 118.3 persons.

Lower limit 90 -

3V90 = 71.7 persons.

3.10

m(lO) = 440 persons,

Variance = 440 persons2 .

3.11

F{Xl ~ t} = 1 -

e-(at)/l

(Weibull distribution).

Problems 4

4.3
Var(N(t))

= 2M * M{t) + M(t) -

[M(t)]2

4.4
(i)

F*(s) = pe- s /(1 - qe- S ),

(ii)

M*(s) = pe- s /(1 - e- S ),

M{m) = pm

(m

= 1,2, ... ).

254

APPENDIX B. ANSWERS TO SELECTED PROBLEMS

4.5
M(m) = pm _ ~
2
4

+ (1 -

2p)m

(m = 2,3, .).

Problems 5

5.1

(i) 11'(2) = [0.68 0.32],

11'(4)

= [0.6672 0.3328],

11'(8)

= [0.6667 0.3333].

(ii) 11'(2) = [0.66 0.34],

11'( 4)

= [0.6664 0.3336],

11'(8)

= [0.6667 0.3333].

(iii)

1I'(n)

= [2/3

1/3]

5.2
pn = [1-

(iii)

(n

= 2,4,8).

hr

an
where

(n = 1,2,3, .. ).

5.4

One class {O, 1, 2}, recurrent and aperiodic.

(iii)

5.5
i2

(ii)

Pi,i-i

= N2'

Pii

(i=O,1,2,,N),

=2

i(N - i)
N2

Pi,i-i

'

Pi,i+1 =

(N - i)2
N

+ Pii + pi,i+1 = 1.

One class {O, 1,2,, N}, recurrent and aperiodic.

(iii)

5.8
Pi:

{O, 1, 2} recurrent.

P2

{I} recurrent (absorbing), {O,2} transient.

P3

{O, I} recurrent, {2} recurrent (absorbing), {3} transient.

255

5.9
PI:

{O, 1, 2} recurrent, periodic with period 3.

P2

{O, 1, 2} recurrent, aperiodic.

P3

{O, 1,2,3, 4} recurrent, aperiodic.

5.11

(iii) PI:

11'0

11'1

= 1/2.

P2

11'0

11'1

= 1/2.

P3

11'0

11'1

= 1/2.

[1/2 1/2]
1/2 1/2

pn

(iv)

n.!..rr;.,

(v)

lim .! fpi = [1/2 1/2]

n-HX) n 0=1
.
3
1/2 1/2 .

(i = 1,2).

5.12

lim pn =

/3
[11/3

n-+oo

0
0
0

2/3
2/3
0
0
0

0 0
0 0
0
1 0
o
0 3/5 2/5
0 3/5 2/5

1.

5.13

2'

--+

0,

0
1
p=2
3
4
5

4'

--+

1,

0'

--+

4,

l'

--+

5,

3'

0
0
0
1/3 2/3 0
0
0
0
1/2 1/2 0
0
0 2/3 1/3 0
0
0
0 1/2 1/2 0
0
0 1/4 1/2
0 1/4 0
0
0 3/4 0 1/4 0

--+

2,

5'

--+

3.

256

APPENDIX B. ANSWERS TO SELECTED PROBLEMS

A state transition diagram of Problem 5.13.

0
1
r1m pn = 2
n-+oo
3

0
0
3/7 4/7
0
0
3/7 4/7
0
0
3/5
2/5
0
0
3/5
3/5
4 6/35 8/35 9/25 6/25
5 3/70 4/70 27/50 18/50

0
0
0
0
0
0

0
0
0
0
0
0

5.15

=o
1 [0q
2

p 0
0 P

0 q 0

p 0 q

~l

Doubly stochastic (irreducible, recurrent, periodic with period 2).

5.16

1
0
lim p2n = (1 - ~) 1
n-+oo
q
0

0 ~
1 0
q
0 ~
1 0
q

~
q

~
q

~
q

~
q

257
!.

1 0
lim

n--+oo

p2n+1

= (1 - p)

!.

~
q

~
q

~
q

1 0

q4

Proble ms 6
6.1

M(t) = e>.t.

6.2
E[N(t)

= n) = ~ + 2,\ + ... + n'\)

1

Var(N (t) = n) = ,\2

+ 22,\2 + ... + n2,\2'

6.3

E[X(t)

= kJ = n'\ + (n -

+ ... + (n - k + 1)'\)

1)'\

Var(X( t) = k) = n 2 ,\2 + (n _

1
1)2,\2

6.4

J.I.
,\ +. 2(>,-,,)t

.... V anance
= ze
,\-J.I.

[1 -

e-(>'-/J.)t] .

6.5

(iv)

lim PlO(t)
t--+oo

(,\

< J.L)

J.L)
r0 (,\(,\ => J.L).

+ ... + (n _ k + 1)2,\2

APPENDIX B. ANSWERS TO SELECTED P8,OBLEMS

258
6.8

6.9

(i) M'(t) = a + (A - p,)M(t),

(ii) M(t) = {

(iii)

ie(.~-I')t + I'~~

(A I: p,)

at + i

(A == p,).

lim M(t)

t--+oo

M(O) = i.

={

(A < p,)

I'~~

(A

00

p,),

6.10
Pi =

Po

a(a + A)(a + 2A) , " [a + (j - I)A]

j! p.i

[1

Po

~ a(a + A)(a + 2A) , " [a + (j " .

J, p.l

+~

(J' = 1,2", ,),

I)A]]_l

;=1

6.11

(i)

ap~,s) +p,(S_I)ap~:,s) =A(s-I)P(t,s),

(iii) P(t ,s)

n
rOj

(t)

="
00

[..\

I'

(1 - e-I't)]i

j
" e -t(1-e-I'I). s,

J,

j=O

[;;~ (1 - e-I't)]i

"

J,

(~

')
( IV

6.12

}'1m rOj
n
t--+oo

(A)i e

1
Pi = j! ~

(t) = -,-e
;;}' _4I'
J!

_4
I'

e -4(I-e-I'I)
I'

(j

= 0, 1, 2, ....)

(POlsson
.
d'lStn'butlOn
' ),

(j = 0,1,2", .),

Poisson distribution,

259
6.13
-2A

(i) P/(t) = P(t)A = pet) [ ~

2A
-(A + f.t)
2f.t

(ii)

R (t)
00

[ ,-" + Ae-(~+#')t]

P01 (t) =2

Ji.

A+f.t

'

+ Ae-(~+#')t] [A - Ae-(~+#')t]
\+'
,, + f.t
f.t
1\

A - Ae-(H#')t1 2
P02 (t) = [ ---.,.\--I\+f.t

(iii)

lim Poo(t) =

t-+oo

lim POl(t)

t-+oo

(~)
+ f.t

2,

1\

= 2 (~)
+ f.t (~),
+ f.t
1\

lim P02 (t) =

t-+oo

1\

(~)2
+ J.t
1\

6.14

(1"1") Po -_

(1 + 2A + 2A2)-1
f.t

f.t2

2A

,PI = /iPo,

Problems 7

7.1
(i)
(ii)

[Oi4 0"6]
o "

Q(oo) =

5f.t

Po = 3A+5f.t'

3A
PI = 3A + 5f.t "

7.2
(ii)

f.t

A
o

-2f.t

Po= A+f.t'

A
PI = - - "
A+f.t

1"

260

APPENDIX B. ANSWERS TO SELECTED PROBLEMS

7.3
(ii)

11"0

(iii) Po

= 11"1 = 11"2 = 1/3.

(1 + ~ + ~)

J.Ll

J.L2

-1 ,

7.5
(ii) M*(s)

(iii) G~(s)
G~l(S)

1 _ F*tS) G*(S)

lG*~~fs;(S)

F*7s;~~(s)]'

= Gil(S) = G*(s)F*(s),
= G*(s),

Gio(s) = F*(s),

1(S)]
PiPll(s)
1 [1 - G*(s)

P*(t) = [Poo(S)
Pio(s)

= 1 - F*(s)G*(s)

F*(s)[l - G*(s)]

G*(s)[l - F*(S)]]
1- F*(s)
.

Problems 8

8.2
P{min(X 1 , X 2 ,'" Xn) > t} = F 1 (t)F 2 (t) .. F n(t)

= exp [-

t ri(t)] .
=1

8.3
(i)

(ii)

E[X] = -n-'

EAi

Var(X) =

(~Ai

)2'

261

8.6

8.7

R1(x,t) = {

+ ~ [e- AZ -

~ [e-A(HZ) _ e-(A+I')t]

Ate-A(Hz)

+ le- AZ -le-A(t+z)

lim Ro(x,t) = ~e-AZ,

t-+oo

1\

+ J.t

Problems 9
9.1

(i)
(ii)

P{The attendant is busy} = p

p2
1
Lq = - - = 2-4 persons.
1-p

(iii)

Wq

(iv)

P { U > 115} =

J.t(1- p)

= 3/4.

= ~ hour = 3 min.
20

~e-l =

0.276.

9.2
(i)

P{The secretary is busy} = p = 0.8.

(ii)

L=~
=4jobs.
-p

(iii)
(iv)

= L/ A = 40 min.
P{U + V ~ 40} = 1 -

e- 1

(i)

P{The dentist is busy}

=1-

(ii)

L = 1.423 patients.

(iii)

Wq

= 0.632.

9.5

= 23.64 min.

Po

= 0.6346.

e-A(HZ)]

(A

:f J.t)

(A = J.t).

APPENDIX B. ANSWERS TO SELECTED PROBLEMS

262

9.8
U

= - = 1.0,
f..

2.0

(0.1)
U

1.0
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2.0

= - ~ 1.5
f..

P4
0.0154
0.0201
0.0262
0.0324
0.0396
0.0479
0.0563
0.0658
0.0747
0.0848
0.0950

===> P4 = 0.0479 < 0.05 (5%).

Appendix C
The Bibliography
[1] A. O. Allen, Probability, Statistics, and Queueing Theory with Computer
Science Applications, Academic Press, New York, 1978.

[2] L. J. Boon, Statistical Analysis of Reliability and Life-Testing Models: Theory

and Methods, Marcel Dekker, New York, 1978.

[3] R. E. Barlow and F. Proschan, Mathematical Theory of Reliability, Wiley,

New York, 1965.

[4] R. E. Barlow and F. Proschan, Statistical Theory of Reliability and Life

Testing: Probability Models, Holt, Rinehart and Winston, New York, 1975.

[5] U. N. Bhat, Elements of Applied Stochastic Processes, Wiley, New York,

1972.
[6] K. L. Chung, Elementary Probability Theory with Stochastic Processes, Springer-Verlag, New York, 1974.
[7] E. Qinlar, Introduction to Stochastic Processes, Prentice-Hall, Englewood
Cliffs, New Jersey, 1975.
[8] D. R. Cox, Renewal Theory, Methuen, London, 1962.
[9] W. Feller, An Introduction to Probability Theory and Its Applications, Vol. I,
3rd ed., Wiley, New York, 1968.
[10] W. Feller, An Introduction to Probability Theory and Its Applications, Vol. II,
2nd ed., Wiley, New York, 1971.
[11] B. V. Gnedenko, Y. K. Belyayev, and A. D. Solovyev, Mathematical Methods of Reliability Theory, Academic Press, New York, 1969.
[12] P. G. Hoel, S. C. Port and C. J. Stone, Introduction to Stochastic Processes,
Houghton Mifflin, New York, 1971.

APPENDIX C. THE BIBLIOGRAPHY

264

[13] S. Karlin and H. M. Taylor, A First Course in Stochastic Processes, 2nd

ed., Academic Press, New York, 1975.

[14] S. Karlin and H. M. Taylor, A Second Course in Stochastic Processes, Ac&demic Press, New York, 1981.
[15] J. G. Kemeny and J. L. Snell, Finite Markov Chains, Springer-Verlag, New
York,1976.
[16] L. Kleinrock, Queueing Systems, Vol. I: Theory, Wiley, New York, 1975.
[17] L. Kleinrock, Queueing Systems, Vol. II: Computer Applications, Wiley,
New York, 1976.
[18] J. Kohlas, Stochastic Methods of Operations Research, Cambridge University Press, Cambridge, 1982.
[19] R. G. Laha and V. K. Rohatgi, Probability Theory, Wiley, New York, 1979.
[20] N. R. Mann, R. E. Schafer, and N. D. Singpurwalla, Methods for Statistical
Analysis of Reliability and Life Data, Wiley, New York, 1974.
[21] S. Osaki, Stochastic System Reliability Modeling, World Scientific, Sing&pore, 1985.
[22] E. Parzen, Modem Probability Theory and Its Applications, Wiley, New
York, 1960.

[23] S. M. Ross, Applied Probability Models with Optimization Applications,

Holden-Day, San Francisco, 1970.
[24] S. M. Ross, Stochastic Processes, Wiley, New York, 1983.
[25] H. M. Taylor and S. Karlin, An Introduction to Stochastic Modeling, AC8r
demic Press, Orlando, 1984.
[26] W. A. Thompson, Jr., Point Process Models with Applications to Safety and
Reliability, Chapman and Hall, New York, 1988.
[27] K. S. Trivedi, Probability & Statistics with Queueing, and Computer Science
Applications, Prentice-Hall, Englewood Cliffs, New Jersey, 1982.

Index
A
Abelian theorem, ................ 242
Actual arrival rate, ......... 226, 228
Age replacement models, .... 200-203
Age, .......................... 73,98
Arrival rate, ..................... 217
Arriving time, .................... 68
Availability, ................. 194-195
average, ....................... 194
joint, .......................... 195
limiting, ....................... 194
limiting average, ............... 194
Availability theory, .......... 192-199

B
Elath-tub curve, ............. 187-188
Elayes'theorem, ................... 12
Elernoulli distribution, ......... 34-35
Eleta distribution, .............. 47-48
Elinomial coefficient, .............. 13
Elinomial distribution, . 35-36, 56, 245
Elirth and death process, ..... 143-155
definition, ..................... 144
linear growth process, ......... 148
linear growth with immigration, 163
Elirthday problem, ................ 17
Elivariate exponential distribution, 53
Elivariate joint distribution, ....... 49
Elivariate normal distribution, ..... 52
Ellackwell's theorem, .............. 94
Ellock diagram, .................. 147
Ellock replacement models, ......... .
200, 203-207

Chebyshev's inequality, ........... 57

Coincidences
(See Matches)
Combinations, .................... 14
Combinatorial analysis, ........... 13
Communication relation, ......... 112
Conditional density, ............... 50
Conditional distribution, .......... 50
Conditional expectation, .......... 50
Conditional probability mass function,
50
Conditional probability,
definition, ....................... 8
Convolution, ...................... 54
Correlation coefficient, ............ 52
Counting process, ................. 63
Covariance, ....................... 52
Cumulative hazard, .............. 187
Current life, ................... 73, 98
Customers, ...................... 215

D
Degenerate distribution, ..... 218-219
Density, .......................... 29
Dependability, ................... 195
DFR, ............................ 187
Directly Riemann integrable, ...... 95
Distribution,
continuous, ..................... 40
definition, ...................... 29
discrete, ...................... :. 33
Doubly stochastic matrix, ........ 133
Down time, ...................... 193

Central limit theorem, ............ 58

Channel, ........................ 215
Chapman-Kolmogorovequation, .... .
108,136
Characteristic function, ........... 31

Elementary renewal theorem, ..... 92

Embedded Markov chain, ........ 168
Empty set
(See Null set)
Equally likely, ..................... 6

266

INDEX

Equilibrium distribution, 98, 101, 246

Erlang's B formula, ......... 231, 234
Erlang's C formula, .............. 230
Erlang's loss formula
(See Erlang's B formula)
Event, ............................. 1
Eventual transition probability, ..... .
114, 168
Excess life, .................... 73, 97
Expectation, ...................... 30
Expected cost rate, .............. 200
Expedited order, ................. 207
Exponential distribution, ........... .
42-44, 188, 245-246
F
Failure rate, ................ 186,
Failure, ..........................
random, .......................
First passage probability, ........
Furry process, ...................

233
186
186
114
139

G
Gamma distribution, ............... .
44-45, 56, 188, 246
Gamma function, ................. 44
Geometric distribution, ............ .
36-37, 191-192, 245
H
Hazard function, ................. 187
Hazard rate,
(See Failure rate)
Holding time, .................... 216
Hypergeometric distribution, ...... 21

I
IFR, ............................. 187
Impossible set
(See Null set)
Inclusion and exclusion formula
(See Poincare's theorem)
Independent event
(See Mutually independent event)
Independent increments, .......... 65
Independent trials, ................ 10
Indicator, ......................... 34
Infant phase, .................... 187
Infinitestimal generator, ..... 154, 157

Initial distribution, .............. 107

Initial probability, ............... 107
Intensity function, ................ 77
Interarrival time, ............. 68,217
Interoccurrence times
(See Interarrival times)
Inventory cost ................... 207
Item, ............................ 186

J
Joint density, ..................... 49
Joint probability mass function, ... 49

K
k-Erlang distribution, ........ 217-218
k-out-of-n system, ............... 212
Kendall's notation, .............. 220
Key renewal theorem, .......... 95-97
Kolmogorov's forward equation, .....
138, 142, 146, 153, 155
Kolmogorov's backward equation, ...
154, 155
Kurtosis, ......................... 32

L
Laplace transform, ............... 241
Laplace-Stieltjes transforms, ........ .
32, 172, 241
Lifetime, ........................ 186
Little's formulas, ....... 225, 228, 236
Lognormal distribution, .. 47, 190-191

M
Maintainability, .................. 192
Maintenance, .................... 192
corrective, ..................... 192
preventive, .................... 192
scheduled, ..................... 193
Marginal density, ................. 50
Marginal distribution, ............. 49
Marginal probability mass function, 49

INDEX
Markov chain,
absorbing, ..................... 116
continuous-time, ............... 135
continuous-time finite-state, ... 155
discrete-time, .................. 105
ergodic, ....................... 119
finite-state, ................ 123-128
irreducible .................... 113
spatially homogeneous, ........ 111
Markov property, ................ 105
Markov renewal function, ........ 170
Markov renewal process,
alternating, ............... 17~181
definition, ..................... 167
stationary, .................... 177
Markov's inequality, .............. 56
Mass function, ................... 167
Matches, ......................... 19
Maximum queueing system capacity, .
219
MDT, ........................... 194
Mean
(See Expectation)
Mean recurrence time, ........... 118
Mean value function, .............. 78
Moment generating function, ...... 32
MTBF, .......................... 194
MTBM, ......................... 194
Multinomial coefficient, ........... 20
Multinomial expansion, ........... 21
Multiplication principle, .......... 14
Multivariate distributions, ..... 48-56
MUT, ........................... 194
Mutually independent event, ... 9, 10

267

o
One-step transition probability, .. 167
Order statistics, ................. 212
Ordering models, ............ 207-211

p
Parallel system, .................. 212
Partition, ......................... 11
Pascal distribution

(See Negative binomial distribution)

Permutation, ..................... 14
Poincare's theorem, ............... 17
Point

(See Sample point)

Poisson arrivals, ................. 217
Poisson distribution, ... 39-40, 67, 192
Poisson process, ............... 65-68
decomposition, ................. 75
definition, ............... 66, 67, 69
nonhomogeneous, ............ 77-79
nonstationary, ............... 77-79
superposition, .................. 75
Population, .................. 216-217
finite, ................ 217, 233-238
infinite, ....................... 216
Probability distribution

(See Distribution)
Probability mass function,

N
(Stieltjes) convolution, .. 54, 84
~step distribution, .............. 109
Negative binomial distribution, ..... .
37-39, 192, 245
Normal distribution, ...... 46-47, 190
standardized, ................... 47
nth moment, ...................... 31
about the mean, ................ 31
about the origin, ............... 31
Null set, ........................... 3
Number of service channels, ...... 219
~fold

definition, ...................... 29
Probability,
definition, ....................... 5
Pure birth process, .......... 136-141
definition, ..................... 137
Pure death process, .......... 141-143
with linear death rate, ......... 142

268

INDEX

Q
Queueing discipline, ......... 219-220
Queueing models, ............ 215-220
Infinite server Poisson queue, ... 72
M/M/1, ....................... 150
M/M/1/K/K, ............. 233-234
M/M/1/N, ........... 152,226-228
M/M/1/oo, ............... 221-226
M/M/1/oo queue with impatient customers, ..................... .

164
M/M/2/2/2, .............. 247-248
M/M/c/c, ................. 230-231
M/M/c/c/c, ............... 237-238
M/M/c/K/K, ............. 235-236
M/M/c/oo, ............... 229-230
M/M/oo, ...................... 151
M/M/oo/oo, .............. 231-232
multiple server, ....... 219, 228-232
single server, ......... 219, 221-228
Queueing models with finite population,
233-238
R
Random trial, ...................... 1
Random variable,
arithmetic, ..................... 94
continuous, ..................... 29
definition, ...................... 29
discrete, ........................ 29
independent, ................... 49
lattice, ......................... 94
standardized, ................... 31
Random walk,
on a circle, .................... 133
one-dimensional symmetric, .... 116
two-dimensional symmetric, ... 131
with reflecting barrier, .... 121, 134
Randomization, .................. 159
Rayleigh distribution, ............. 46
Regeneration point, .............. 169
Regular order, ................... 207
Reliability, .................. 193-194
interval, ....................... 194
limiting interval, .............. 194
Reliability function,
(See Reliability)
Reliability models, ........... 185-199

Renewal density, .................. 95

Renewal equation, ........... 88, 104
in matrix form, ................ 170
Renewal function, ............ 85, 249
Renewal process,
definition, ...................... 83
delayed, ........................ 99
stationary, ................ 101-103
Renewal-type equation, ........... 96
Repair rate, ..................... 233
Repairman problems, ............ 233
Repeated trials
(See Independent trials)
Replacement models, ........ 200-207
Residual life, .................. 73, 97

S
Sample function, .................. 65
Sample path, ..................... 65
Sample point, ...................... 1
Sample space, ...................... 1
Sample with replacement, ......... 14
Sample without replacement, ...... 14
Sampling inspection, .............. 21
Second moment, .................. 30
Semi-Markov kernel, ............. 167
Semi-Markov process,
definition, ..................... 167
Series system, ................... 212
Server, .......................... 215
Service, .......................... 215
Service rate, ..................... 219
Service time, .................... 219
Shortage cost, ................... 207
Skewness, ......................... 32
Standard deviation, ............... 31
State classification, .......... 112-117
absorbing, ..................... 116
aperiodic, ..................... 113
non-null recurrent, ............ 118
null recurrent, ................. 118
period, ........................ 113
periodic, ...................... 113
positive recurrent, ............. 118
recurrent, ..................... 114
transient, ...................... 114
State space, ...................... 65
State transition diagram, ........ 106

INDEX

269

Stationary distribution, .......... 119

Stationary increments, ............ 65
Stationary independent increments, 65
Stationary probabilities, ..... 176-177
Stieltjes convolution, .............. 54
Stieltjes integrals, ................. 30
Stirling's formula, ............... 115
Stochastic process, ................ 64
continuous-time, ................ 64
discrete-time, ................... 64
Strong law of large numbers, ... 57-58
T
Tauberian theorem, .............. 242
Telephone line, .................. 216
Total event, ........................ 3
Total life, ......................... 73
Total probability formula, ......... 11
Traffic intensity, ................. 222
Transition probability matrix, .... 106
Transition probability, ...... 105, 135
n-step, ........................ 105
Truncated normal distribution, ... 190
Type I counter, .................. 182

U
Unconditional distribution, ...... 170
Unconditional mean, ............. 170
Uniform distribution, 33, 71, 188, 191
continuous, .................. 40-42
discrete, ........................ 34
standard, ....................... 41
Uniformization, .................. 159
Up time, ........................ 193
Useful life phase, ................ 187
Utilization factor, ................ 223
V

Variance, ......................... 30

W
Waiting time, ..................... 68
Wearout phase, .................. 187
Weibull distribution, . 45-46, 190, 212

y
Yule process,

139-140