Numerical inversion of the Laplace transform via fractional moments

被引：10

作者：

Tagliani, A ^{[1
]}

Velásquez, Y

机构：

[1] Univ Trent, Fac Econ, I-38100 Trent, Italy

[2] Univ Metropolitana, Escuela Ingn Sistemas, Caracas 1050A, Venezuela

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2003年 / 143卷 / 01期

关键词：

fractional moments; generalized Hausdorff moment problem; Hankel matrix; Laplace transform inversion; maximum entropy;

D O I：

10.1016/S0096-3003(02)00349-1

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A method for the numerical inversion of Laplace transform on the real line of heavy-tailed (probability) density functions is presented. The method assumes as known a finite set of real values of the Laplace transform and chooses the analytical form of the approximant maximizing Shannon-entropy, so that positivity of the approximant itself is guaranteed. The problem resorts to a finite fractional Hausdorff moment problem and some results of convergence are provided. Some numerical results are illustrated. (C) 2002 Elsevier Science Inc. All rights reserved.

引用

页码：99 / 107

页数：9

共 5 条

[1]

[Anonymous], 1992, ENTROPY OPTIMIZATION, DOI DOI 10.1007/978-94-011-2430

[2] NUMERICAL INVERSION OF THE LAPLACE TRANSFORM - SURVEY AND COMPARISON OF METHODS [J].