Computing Laplace Transforms for Numerical Inversion Via Continued Fractions

DOI10.1287/ijoc.11.4.394zbMath1039.65512OpenAlexW1981917927MaRDI QIDQ4427383

Joseph Abate, Ward Whitt

Publication date: 6 November 2003

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0a19d006e633aa8373a0e364d328e30de6405d8e

zbMATH Keywords

convergenceLaplace transformsprobability density functionsinversion algorithmqueueing modelsbirth-and-death processescontinued-fraction representations

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Laplace transform (44A10) Numerical methods for integral transforms (65R10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items

ApproximatingM/G/1 Waiting Time Tail Probabilities, Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks, On the Laplace transform of the Pareto distribution, Numerical calculations accuracy comparison of the inverse Laplace transform algorithms for solutions of fractional order differential equations, On the accuracy of phase-type approximations of heavy-tailed risk models, Laplace Transforms of Probability Distributions and Their Inversions are Easy on Logarithmic Scales, Transition probabilities for general birth-death processes with applications in ecology, genetics, and evolution, Note from the Editor, Time-dependent analysis of a single-server retrial queue with state-dependent rates, Birth and Death (BDP) Process Models with Applications, PIECEWISE POLYNOMIAL APPROXIMATIONS FOR HEAVY-TAILED DISTRIBUTIONS IN QUEUEING ANALYSIS, Transient analysis of a queue with system disasters and customer impatience, Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis, Bayesian Analysis of a Queueing System with a Long-Tailed Arrival Process, An Algorithm for Fitting Heavy-Tailed Distributions via Generalized Hyperexponentials, Some truncated distributions, Estimation for General Birth-Death Processes, Functional sensitivity analysis of ruin probability in the classical risk models, A generalized birth–death stochastic model for high-frequency order book dynamics