Inverse two-sided Laplace transform for probability density functions
| Autor: | Aldo Tagliani |
|---|---|
| Rok vydání: | 1998 |
| Předmět: |
Mellin transform
Laplace transform Laplace–Stieltjes transform Principle of maximum entropy Applied Mathematics Mathematical analysis Inverse Laplace transform Computational Mathematics Entropy convergence Hamburger moment problem Hankel determinant Laplace transform applied to differential equations Inverse two-sided Laplace transform Maximum entropy probability distribution Two-sided Laplace transform Mathematics |
| Zdroj: | Journal of Computational and Applied Mathematics. 90(2):157-170 |
| ISSN: | 0377-0427 |
| DOI: | 10.1016/s0377-0427(98)00013-2 |
| Popis: | We present a method for the numerical inversion of two-sided Laplace transform of a probability density function. The method assumes the knowledge of the first M derivatives at the origin of the function to be antitransformed. The approximate analytical form is obtained by resorting to maximum entropy principle. Both entropy and L1-norm convergence are proved. Some numerical examples are illustrated. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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