On the Laplace transform of the lognormal distribution

DOI10.1007/s11009-014-9430-7zbMath1386.60066OpenAlexW2147810214MaRDI QIDQ292357

Leonardo Rojas-Nandayapa, Jens Ledet Jensen, Soren Asmussen

Publication date: 8 June 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://math.au.dk/publs?publid=994

zbMATH Keywords

Laplace transformimportance samplingefficiencyMonte Carlo methodcharacteristic functionLaplace methodmoment generating functionlognormal distributionLambert \(W\) functionrare event simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05)

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• Exponential Family Techniques for the Lognormal Left Tail
• An Introduction to Heavy-Tailed and Subexponential Distributions
• On lognormal random variables: I-the characteristic function
• Laplace Transforms of Probability Distributions and Their Inversions are Easy on Logarithmic Scales
• Saddlepoint Approximations with Applications
• The lognormal characteristic function

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