Approximating the Laplace transform of the sum of dependent lognormals (Q5197405)
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scientific article; zbMATH DE number 7109541
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximating the Laplace transform of the sum of dependent lognormals |
scientific article; zbMATH DE number 7109541 |
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Approximating the Laplace transform of the sum of dependent lognormals (English)
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23 September 2019
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lognormal distribution
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asymptotics
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saddlepoint approximation
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importance sampling
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quasi-Monte Carlo
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numerical Laplace-transform inversion
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Lambert W function
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