Numerical inversion of Laplace transform on the real line of probability density functions
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摘要
A method for the numerical inversion of Laplace transform on the real line of a heavy-tailed probability density function is presented. The method assumes as known a finite set of values of the Laplace transform and chooses the analytical form of the approximant maximizing Shannon-entropy, so that positivity of the approximant itself is guaranteed. The problem resorts to a finite generalized moment problem and a stability analysis is also provided. Some numerical results are illustrated.
论文关键词:Convex hull,Maximum entropy,Generalized moment problem,Laplace transform inversion
论文评审过程:Available online 17 August 2001.
论文官网地址:https://doi.org/10.1016/S0096-3003(00)00068-0