Laplace Transforms of Probability Distributions and Their Inversions are Easy on Logarithmic Scales

DOI10.1239/jap/1214950365zbMath1154.65004OpenAlexW2146898528WikidataQ61883266 ScholiaQ61883266MaRDI QIDQ3516424

Axel G. Rossberg

Publication date: 5 August 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1214950365

zbMATH Keywords

Laplace transformconvolutionnumerical examplesWeibull distributionmoment generating functionheavy taillognormal distributionPareto distributionstransform inversionM/G/1 queueing problem

Mathematics Subject Classification ID

Related Items (3)

On the Laplace transform of the lognormal distribution ⋮ Analysis of over-dispersed count data with extra zeros using the Poisson log-skew-normal distribution ⋮ The Laplace transform on the rearrangement of invariant spaces

Uses Software

• Algorithm 368

Cites Work

• Unnamed Item
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• Bounds on the distribution of a sum of independent lognormal random variables
• The log-normal approximation in financial and other computations
• NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE
• Improved algorithms for rare event simulation with heavy tails
• Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform

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