On the Laplace Transform of the Lognormal Distribution

Integral transforms of the lognormal distribution are of great importance in statistics and probability, yet closed-form expressions do not exist. A wide variety of methods have been employed to provide approximations, both analytical and numerical. In this paper, we analyse a closed-form approximat...

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Bibliographic Details
Published in:	Methodology and computing in applied probability Vol. 18; no. 2; pp. 441 - 458
Main Authors:	Asmussen, Søren, Jensen, Jens Ledet, Rojas-Nandayapa, Leonardo
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.06.2016 Springer Nature B.V
Subjects:	Approximation Asymptotic properties Business and Management Distribution Economics Electrical Engineering Exact solutions Laplace transforms Life Sciences Mathematical analysis Mathematical models Mathematics and Statistics Monte Carlo simulation Probability Statistics Studies Texts United States > US Monte Carlo method Lambert W function 90-04 60E10 Rare event simulation Laplace’s method Lognormal distribution Characteristic function Efficiency Laplace transform Importance sampling Moment generating function 60E05
ISSN:	1387-5841, 1573-7713
Online Access:	Get full text
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