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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Vydané v:	Methodology and computing in applied probability Ročník 18; číslo 2; s. 441 - 458
Hlavní autori:	Asmussen, Søren, Jensen, Jens Ledet, Rojas-Nandayapa, Leonardo
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.06.2016 Springer Nature B.V
Predmet:	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
On-line prístup:	Získať plný text
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