Computing Laplace Transforms for Numerical Inversion Via Continued Fractions

DOI10.1287/IJOC.11.4.394MaRDI QIDQ4427383zbMATH OpenOpenAlexFDO

Authors 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

birth-and-death processescontinued-fraction representationsconvergenceinversion algorithmLaplace transformsprobability density functionsqueueing models

Mathematics Subject Classification ID

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

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• Computing the inverse Laplace transform for rational functions vanishing at infinity
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• Laplace Transforms of Probability Distributions and Their Inversions are Easy on Logarithmic Scales
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• Transition probabilities for general birth-death processes with applications in ecology, genetics, and evolution
• On the accuracy of phase-type approximations of heavy-tailed risk models
• Birth and Death (BDP) Process Models with Applications
• PIECEWISE POLYNOMIAL APPROXIMATIONS FOR HEAVY-TAILED DISTRIBUTIONS IN QUEUEING ANALYSIS
• Estimation for general birth-death processes
• Note from the Editor
• A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables
• Functional sensitivity analysis of ruin probability in the classical risk models
• Computational methods for birth-death processes
• On the Laplace transform of the Pareto distribution
• Transient analysis of a queue with system disasters and customer impatience

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