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Efficient computation of passage time densities and distributions in Markov chains using Laguerre method

Harini Kulatunga, William J. Knottenbelt

Journal Article
Electronics Letters
Volume 44
Issue 15
June, 2008
The Institution of Engineering and Technology
DOI 10.1049/el:20081079
Abstract

The Laguerre method for the numerical inversion of Laplace transforms

is a well known approach to the approximation of probability

density functions (PDFs) and cumulative distribution functions

(CDFs) of first passage times in Markov chains. Results are presented

that relate the Laguerre generating functions and Laguerre coefficients

of a PDF with those of the corresponding complementary CDF. This

enables the ability to compute the PDF or CDF from the Laplace transform

of either at the cost of computing only one set of Laguerre

coefficients.

Notes

Electronics Letters online no: 20081079

Copyright notice

The Institution of Engineering and Technology 2008

Information from pubs.doc.ic.ac.uk/laguerre-ell2008.