Inverse two-sided Laplace transform for probability density functions

被引：8

作者：

Tagliani, A ^{[1
]}

机构：

[1] Politecn Milan, Dipartimento Matemat, I-20133 Milan, Italy

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 1998年 / 90卷 / 02期

关键词：

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

D O I：

10.1016/S0377-0427(98)00013-2

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

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.

引用

页码：157 / 170

页数：14

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