Numerical Inversion of Laplace Transforms of Probability Distributions

DOI10.1287/IJOC.7.1.36zbMATH Open0821.65085OpenAlexW2005171207MaRDI QIDQ4835447FDOQ4835447

Authors: Joseph Abate, Ward Whitt 

Publication date: 27 September 1995

Published in: ORSA Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d6fbb09176d39c34fbf484b96de95163e90fd0ef

Recommendations

• A method for the numerical inversion of Laplace transforms
• Numerical inversion of Laplace transform on the real line of probability density functions
• Numerical inversion of the Laplace transform from the real axis
• Inversion of the laplace transform via post—widder formula
• Study on a method for numerical inversion of Laplace transforms

zbMATH Keywords

Laplace transformnumerical inversioninversion formulaacceleration of convergencePoisson's summation formulaPost-Widder inversion formulaEuler's summation technique

Mathematics Subject Classification ID

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

Cited In (only showing first 100 items - show all)

• A solution to the ruin problem for Pareto distributions.
• A maximum entropy method for inverting Laplace transforms of probability density functions
• Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
• Stochastic entropy production in diffusive systems
• Entropy maximization and the busy period of some single-server vacation models
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• Stochastic epidemic models: new behavioral indicators of the disease spreading
• On the numerical inversion of busy-period related transforms
• Response function formulation for inverse heat conduction: concept
• An analysis of the number of tasks in a parallel multi-processor system with task-splitting and feedback.
• The stochastic SEIR model before extinction: computational approaches
• Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes
• A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue
• Density approximations and VaR computation for compound Poisson-lognormal distributions
• A new look at a smart polling model
• Inverse Laplace transform for heavy-tailed distributions.
• Time-dependent analysis of an \(\mathrm{M}/\mathrm{M}/c\) preemptive priority system with two priority classes
• Bessel processes, stochastic volatility, and timer options
• Parametric estimation of discretely sampled Gamma-OU processes
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
• Lévy processes, phase-type distributions, and martingales
• Priority queueing systems: from probability generating functions to tail probabilities
• A new look at Markov processes of \(\mathrm{G}/\mathrm{M}/1\)-type
• Numerical inversion of Laplace transform on the real line of probability density functions
• A problem of numerical inversion of implicitly defined Laplace transforms
• Probabilistic inversion formulas for the Laplace transform: theory and methods
• Factorization identities for reflected processes, with applications
• Equity with Markov-modulated dividends
• Magneto-thermoelastic interactions in an unbounded orthotropic viscoelastic solid under the Hall current effect by the fourth-order Moore-Gibson-Thompson equation
• From birds to bacteria: generalised velocity jump processes with resting states
• A. B. Clarke's Tandem Queue Revisited—Sojourn Times
• Study of instant system availability
• Optimal liquidation in a level-I limit order book for large-tick stocks
• Epidemic transmission on SEIR stochastic models with nonlinear incidence rate
• Computable Error Bounds of Laplace Inversion for Pricing Asian Options
• Final outcome probabilities for SIR epidemic model
• Power algorithms for inverting Laplace transforms
• Marked Markovian arrivals in a tandem G-network with blocking
• Title not available (Why is that?)
• Improvement of accuracy in numerical methods for inverting Laplace transforms based on the Post-Widder formula
• Numerical inversion of Mellin moments and Laplace transforms
• Estimation for general birth-death processes
• On a Markov-modulated shock and wear process
• New mixed time series models having approximated beta marginals
• A fluid model for a relay node in an ad hoc network: Evaluation of resource sharing policies
• Title not available (Why is that?)
• Asymptotic and exact pricing of options on variance
• Geometric Brownian motion with affine drift and its time-integral
• The \(\beta \)-variance gamma model
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
• On the number of births and deaths during an extinction cycle, and the survival of a certain individual in a competition process
• Numerical schemes of the time tempered fractional Feynman-Kac equation
• A Laplace transform inversion method for probability distribution functions
• A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
• Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
• Prices and sensitivities of Asian options: A survey
• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• Markovian controllable queueing systems with hysteretic policies: Busy period and waiting time analysis
• HITTING PROBABILITIES AND HITTING TIMES FOR STOCHASTIC FLUID FLOWS: THE BOUNDED MODEL
• Efficient computation of first passage times in Kou's jump-diffusion model
• The \(G_{t}/GI/s_{t}+GI\) many-server fluid queue
• An inventory system with service facility and finite orbit size for feedback customers
• Stationary distributions for a class of Markov-modulated tandem fluid queues
• Efficient valuation of a variable annuity contract with a surrender option
• The expected time to ruin in a risk process with constant barrier via martingales
• Approximations for the \(M/GI/N +GI\) type call center
• Transient analysis of reflected Lévy processes
• Algorithms for the Laplace-Stieltjes transforms of first return times for stochastic fluid flows
• Control limit policies in a replacement model with additive phase-type distributed damage and linear restoration
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• Transition probabilities for general birth-death processes with applications in ecology, genetics, and evolution
• On the number of recovered individuals in the \(SIS\) and \(SIR\) stochastic epidemic models
• On the Laplace transform of the lognormal distribution
• Lévy-driven polling systems and continuous-state branching processes
• Queueing system \(MAP|PH|N|N+R\) with impatient heterogeneous customers as a model of call center
• Title not available (Why is that?)
• The roles of coupling and the deviation matrix in determining the value of capacity in \(\mathrm{M}/\mathrm{M}/1/C\) queues
• A stochastic two-dimensional fluid model
• Analytical calculation of risk measures for variable annuity guaranteed benefits
• The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
• On the drawdown of completely asymmetric Lévy processes
• Sojourn times in the \(M/ PH/1\) processor sharing queue
• Explicit results for wear processes in a Markovian environment
• A generalized birth-death stochastic model for high-frequency order book dynamics
• Computing Laplace Transforms for Numerical Inversion Via Continued Fractions
• Uniform error bounds for a continuous approximation of non-negative random variables
• On the infimum attained by a reflected Lévy process
• An exact subexponential-time lattice algorithm for Asian options
• TARGET VOLATILITY OPTION PRICING
• Nearly exact option price simulation using characteristic functions
• Performance measures of a multi-layer Markovian fluid model
• Numerical inversion for Laplace transforms of functions with discontinuities
• A new formula for the transient solution of the Erlang queueing model
• Accurate and efficient lattice algorithms for American-style Asian options with range bounds
• Waiting time distributions in the accumulating priority queue
• Identifiability of the \(\mathrm{MAP}_2/\mathrm{G}/1\) queueing system
• A numerically efficient method for the \(MAP/D/1/K\) queue via rational approximations
• FIFO versus LIFO issuing policies for stochastic perishable inventory systems
• Finite SNR diversity-multiplexing tradeoff with spatial correlation and mutual coupling effects for Rayleigh MIMO channels
• Hypergraph-based parallel computation of passage time densities in large semi-Markov models

Uses Software

• UBASIC

This page was built for publication: Numerical Inversion of Laplace Transforms of Probability Distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4835447)