Numerical Inversion of Laplace Transforms of Probability Distributions
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Cited in
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- Algorithms for the Laplace-Stieltjes transforms of first return times for stochastic fluid flows
- The Fourier-series method for inverting transforms of probability distributions
- Dynamic staffing in a telephone call center aiming to immediately answer all calls
- Numerical inversion of Mellin moments and Laplace transforms
- An analysis of the number of tasks in a parallel multi-processor system with task-splitting and feedback.
- A solution to the ruin problem for Pareto distributions.
- Inverse Laplace transform for heavy-tailed distributions.
- Hypergraph-based parallel computation of passage time densities in large semi-Markov models
- Control limit policies in a replacement model with additive phase-type distributed damage and linear restoration
- On the numerical inversion of busy-period related transforms
- Response function formulation for inverse heat conduction: concept
- A new look at a smart polling model
- Stochastic epidemic models: new behavioral indicators of the disease spreading
- The stochastic SEIR model before extinction: computational approaches
- Time-dependent analysis of an \(\mathrm{M}/\mathrm{M}/c\) preemptive priority system with two priority classes
- Optimal liquidation under stochastic liquidity
- Efficient computation of first passage times in Kou's jump-diffusion model
- Bounds for the solution to the single-period inventory model with compound renewal process input: an application to setting credit card limits
- Pricing volatility derivatives under the modified constant elasticity of variance model
- Improvement of accuracy in numerical methods for inverting Laplace transforms based on the Post-Widder formula
- A problem of numerical inversion of implicitly defined Laplace transforms
- Sojourn times in a random queue with and without preemption
- Explicit results for wear processes in a Markovian environment
- 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 numerically efficient method for the \(MAP/D/1/K\) queue via rational approximations
- Approximation of probabilistic Laplace transforms and their inverses
- Decomposition of default probability under a structural credit risk model with jumps
- Asymptotic and exact pricing of options on variance
- A new non-linear AR(1) time series model having approximate beta marginals
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- Fitting procedure for the two-state batch Markov modulated Poisson process
- Generalized Post-Widder inversion formula with application to statistics
- Stochastic modeling on M/M/1/N inventory system with queue-dependent service rate and retrial facility
- On lattice path counting and the random product representation, with applications to the E_r/M/1 queue and the M/E_r/1 queue
- Matrix representations of life insurance payments
- On classes of Bitcoin-inspired infinite-server queueing systems
- Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
- Results on a binding neuron model and their implications for modified hourglass model for neuronal network
- Time-varying Brinkman electrophoresis of a charged cylinder-in-cell model
- Modelling the dynamic response of a micro-cantilever excited at its base by an arbitrary thermal input using Laplace transformation
- Efficient valuation of a variable annuity contract with a surrender option
- Expanding the statistical flowgraph model framework to use any transition distribution
- Numerical algorithms for the forward and backward fractional Feynman-Kac equations
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- Ruin probability in the dual risk model with two revenue streams
- The time-dependent expected reward and deviation matrix of a finite QBD process
- Approximations for the \(M/GI/N +GI\) type call center
- Transient analysis of reflected Lévy processes
- Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
- Numerical techniques in Lévy fluctuation theory
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue
- A representation model for the solving-time distribution of a set of design tasks in new product development (NPD)
- Evaluating failure time probabilities for a Markovian wear process
- Monotonic robust optimal control policies for the time-quality trade-offs in concurrent new product development (NPD)
- An efficient convergent lattice algorithm for European Asian options
- Sojourn times in the \(M/ PH/1\) processor sharing queue
- Gestational mutations and carcinogenesis
- The expected time to ruin in a risk process with constant barrier via martingales
- Markovian controllable queueing systems with hysteretic policies: Busy period and waiting time analysis
- An inventory system with service facility and finite orbit size for feedback customers
- Priority queueing systems: from probability generating functions to tail probabilities
- Waiting time and other first-passage time measures in an \((s,S)\) inventory system with repeated attempts and finite retrial group
- Geometric Brownian motion with affine drift and its time-integral
- Bessel processes, stochastic volatility, and timer options
- Queues with advanced reservations: an infinite-server proxy for the bookings diary
- Final outcome probabilities for SIR epidemic model
- A new look at Markov processes of \(\mathrm{G}/\mathrm{M}/1\)-type
- A semi-explicit density function for Kulkarni's bivariate phase-type distribution
- On a general mixed priority queue with server discretion
- Survival analysis in supply chains using statistical flowgraph models: Predicting time to supply chain disruption
- Waiting time analysis of multi-class queues with impatient customers
- Factorization identities for reflected processes, with applications
- Options on realized variance and convex orders
- A generalized birth-death stochastic model for high-frequency order book dynamics
- Moments-based approximation to the renewal function
- A unified framework for numerically inverting Laplace transforms
- Power algorithms for inverting Laplace transforms
- On the Laplace transform of the lognormal distribution
- Lévy processes, phase-type distributions, and martingales
- Some non standard applications of the Laplace method
- The roles of coupling and the deviation matrix in determining the value of capacity in \(\mathrm{M}/\mathrm{M}/1/C\) queues
- Epidemic transmission on SEIR stochastic models with nonlinear incidence rate
- scientific article; zbMATH DE number 4133313 (Why is no real title available?)
- Some results on a new class of shock models
- An improvement to the Fourier series method for inversion of Laplace transforms applied to elastic and viscoelastic waves
- The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
- Equity with Markov-modulated dividends
- Transient analysis of one-sided Lévy-driven queues
- Finite SNR diversity-multiplexing tradeoff with spatial correlation and mutual coupling effects for Rayleigh MIMO channels
- Level-dependent QBD models for the evolution of a family of gene duplicates
- Stochastic epidemic models revisited: analysis of some continuous performance measures
- Coping with production time variability via dynamic lead-time quotation
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
- A new firing paradigm for integrate and fire stochastic neuronal models
- \(MMAP|M|N\) queueing system with impatient heterogeneous customers as a model of a contact center
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