Inverse Laplace transform for heavy-tailed distributions.

DOI10.1016/S0096-3003(03)00235-2zbMath1043.44003MaRDI QIDQ1427643

Aldo Tagliani, Yurayh Velásquez

Publication date: 14 March 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

convergenceHankel matrixmaximum entropyfractional calculusLaplace transform inversionfractional momentsgeneralized Hausdorff moment problem

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Laplace transform (44A10) Integral transforms of special functions (44A20) Moment problems (44A60)

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Maxentropic solution of fractional moment problems ⋮ Multiple subordinated modeling of asset returns: Implications for option pricing

Cites Work

• Numerical inversion of the Laplace transform via fractional moments
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