منابع مشابه
Laplace Transforms for Integrals of Markov Processes
Laplace transforms for integrals of stochastic processes have been known in analytically closed form for just a handful of Markov processes: namely, the Ornstein-Uhlenbeck, the Cox-Ingerssol-Ross (CIR) process and the exponential of Brownian motion. In virtue of their analytical tractability, these processes are extensively used in modelling applications. In this paper, we construct broad exten...
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Products of the Laplace transforms of exponential distributions with different parameters are inverted to give a mixture of Erlang densities, i.e. an expression for the convolution of exponentials. The formula for these inversions is expressed both as an explicit sum and in terms of a recurrence relation which is better suited to numerical computation. The recurrence for the inversion of certai...
متن کاملAsymmetric Univariate and Bivariate Laplace and Generalized Laplace Distributions
Alternative specifications of univariate asymmetric Laplace models are described and investigated. A more general mixture model is then introduced. Bivariate extensions of these models are discussed in some detail, with particular emphasis on associated parameter estimation strategies. Multivariate versions of the models are briefly introduced.
متن کاملThe h-Laplace and q-Laplace transforms
Article history: Received 12 May 2009 Available online 6 October 2009 Submitted by B.S. Thomson
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The notion of a Laplace ladder for a discrete analogue of the Laplace equation is presented. The adjoint of the discrete Moutard equation and a discrete counterpart of the nonlinear form of Goursat equation are introduced. 1 Notation Value of functions of continuous variables we denote by f(u, v) i.e. f : R ∋ (u, v) 7→ f(u, v) ∈ R while functions of discrete variables by f(m1, m2) i.e. f : Z 2 ...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 1995
ISSN: 0895-7177
DOI: 10.1016/0895-7177(95)00105-b