Inverse two-sided Laplace transform for probability density functions

DOI10.1016/S0377-0427(98)00013-2MaRDI QIDQ1298492zbMATH OpenFDO

Authors Aldo Tagliani

Publication date 5 October 1999

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0377-0427(98)00013-2

zbMATH Keywords

entropy convergenceHamburger moment problemHankel determinantsinverse two-sided Laplace transformnumerical inversionprobability density function

Mathematics Subject Classification ID

Laplace transform (44A10) Moment problems (44A60) Numerical methods for integral transforms (65R10)

Review text

The author studies numerical inversion of the two-sided Laplace transform corresponding to a positive function, typically a probability density function. He consideres the problem where the data are the values of the first \(M\) derivatives of \(F(s)\) at the origin, related to the moments \(\mu_j\), \(j= 0,1,\dots, M\) of the function \(f(t)\) through the relation: \[ (-1)^j{d^jF(s)\over ds^j}\Biggl|_{s=0}= \mu_j,\quad j\geq 0,\quad \mu_0= 1. \] Then the problem of recovering \(f(t)\) is equivalent to the Hamburger moment problem. As the \(M\) moments do not give a unique probability density, so a widely used criterion is to choose the one which maximizes the entropy.

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Cites work

• Differentiation Formulas for Analytic Functions
• scientific article; zbMATH DE number 3181396 (Why is no real title available?)
• scientific article; zbMATH DE number 51089 (Why is no real title available?)
• scientific article; zbMATH DE number 3241743 (Why is no real title available?)
• Maximum entropy in the finite Stieltjes and Hamburger moment problem
• Numerical inversion of the Laplace transform: a survey and comparison of methods
• On the numerical inversion of the Laplace transform

Cited in

(10)

• Moment information for probability distributions, without solving the moment problem. II: Main-mass, tails and shape approximation
• Inverse two-sided z transform and moment problem
• Inverse Laplace transform for heavy-tailed distributions.
• Maximum-entropy approach with higher moments for solving Fokker-Planck equation
• Numerical inversion of Laplace transform on the real line of probability density functions
• Numerical inversion of Laplace transform on the real line from expected values
• A maximum entropy method for inverting Laplace transforms of probability density functions
• Trasformata inversa di laplace per funzioni positive e problema dei momenti
• Output probability distribution estimation of stochastic static and dynamic systems using Laplace transform and maximum entropy
• Moment-based approach for determining probabilistic properties of generalized random variables via chaos expansions

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