Inverse two-sided Laplace transform for probability density functions

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:90

Article

Tagliani, A

关键词: inverse two-sided Laplace transform;    Hamburger moment problem;    Hankel determinant;    entropy convergence;   

DOI  :  10.1016/S0377-0427(98)00013-2

来源: Elsevier

【 摘 要 】

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 L-1-norm convergence are proved. Some numerical examples are illustrated. (C) 1998 Elsevier Science B.V. All rights reserved.

【 授权许可】

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