A non-increasing Lindley-type equation

In this paper we study the Lindley-type equation W = max{0, B − A−W}. Its main characteristic is that it is a non-increasing monotone function in its main argument W. Our main goal is to derive a closed-form expression of the steady-state distribution of W. In general this is not possible, so we shall state a sufficient condition that allows us to do so. We also examine stability issues, derive the tail behaviour of W, and briefly discuss how one can iteratively solve this equation by using a contraction mapping. †EURANDOM, P.O. Box 513, 5600 MB Eindhoven, The Netherlands. i