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

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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)

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• 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
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• Stochastic epidemic models revisited: analysis of some continuous performance measures
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• Numerical algorithms for the forward and backward fractional Feynman-Kac equations
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• On two-queue Markovian polling systems with exhaustive service
• Production/clearing models under continuous and sporadic reviews
• Waiting time distributions in the preemptive accumulating priority queue
• The Fourier-series method for inverting transforms of probability distributions
• Busy period analysis for \(M/G/1\) and \(G/M/1\) type queues with restricted accessibility
• Heavy-traffic limit of the \(GI/GI/1\) stationary departure process and its variance function
• Optimal liquidation under stochastic liquidity
• Approximation of probabilistic Laplace transforms and their inverses
• Availability of periodically inspected systems with Markovian wear and shocks
• The optimal capital structure of the firm with stable Lévy assets returns
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• Tenor specific pricing
• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
• Some results on a new class of shock models
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Uses Software

• UBASIC

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