On the Laplace transform of the lognormal distribution
From MaRDI portal
Publication:292357
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
Laplace transformimportance samplingefficiencyMonte Carlo methodcharacteristic functionLaplace methodmoment generating functionlognormal distributionLambert \(W\) functionrare event simulation
Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05)
Related Items
Modeling skewed spatial data using a convolution of Gaussian and log-Gaussian processes, On the efficient simulation of the left-tail of the sum of correlated log-normal variates, Transitions between superstatistical regimes: validity, breakdown and applications, On a Markovian game model for competitive insurance pricing, A Bayesian motivated Laplace inversion for multivariate probability distributions, A note on portfolios of averages of lognormal variables, Non-Markovian Models of Opinion Dynamics on Temporal Networks, Replica analysis of overfitting in regression models for time-to-event data, Multilevel Monte Carlo Approximation of Functions, Does the ratio of Laplace transforms of powers of a function identify the function?, Tail asymptotics of signal-to-interference ratio distribution in spatial cellular network models, Approximating the Laplace transform of the sum of dependent lognormals, Fast and accurate computation of the distribution of sums of dependent log-normals, On log-normal convolutions: an analytical-numerical method with applications to economic capital determination, Approximation methods for lognormal characteristic functions, Analysis of over-dispersed count data with extra zeros using the Poisson log-skew-normal distribution, Exponential Family Techniques for the Lognormal Left Tail, On the Laplace transform of the lognormal distribution: analytic continuation and series approximations, Dealing with uncertain surgery times in operating room scheduling, Multivariate continuous-time modeling of wind indexes and hedging of wind risk, On the risk of credibility premium rules
Cites Work
- Asymptotics of sums of lognormal random variables with Gaussian copula
- On the Lambert \(w\) function
- Stochastic simulation: Algorithms and analysis
- 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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item