A linear algebraic approach for the computation of sums of Erlang random variables

Benjamin Legros (1) , Oualid Jouini (1)

1 LGI - Laboratoire Génie Industriel - EA 2606

We propose a matrix analysis approach to analytically provide the cumulative distribution function of the sum of independent Erlang random variables. This reduces to the characterization of the exponential of the involved generator matrix. We propose a particular basis of vectors in which we write the generator matrix. We find, in the new basis, a Jordan–Chevalley decomposition allowing to simplify the calculation of the exponential of the generator matrix. This is a simpler alternative approach to the existing ones in the literature.

Domaines: Autre

Benjamin Legros, Oualid Jouini. A linear algebraic approach for the computation of sums of Erlang random variables. Applied Mathematical Modelling, 2015, 39, pp.4971-4977. ⟨10.1016/j.apm.2015.04.013⟩. ⟨hal-01265198⟩