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Numerical determination of hitting time distributions from their Laplace transforms : simple cases

dc.contributor.authorGzyl, Henrykspa
dc.contributor.authorter Horst, Enriquespa
dc.date.accessioned2023-06-21T22:23:11Z
dc.date.available2023-06-21T22:23:11Z
dc.date.issued2014-09-15
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/10726/5129
dc.language.isoeng
dc.publisherElsevier BV
dc.subjectLaplace transforms
dc.subjectFractional moment problems
dc.titleNumerical determination of hitting time distributions from their Laplace transforms : simple caseseng
dc.typearticle
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.rights.localAcceso Restringido
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.description.abstractenglishAn important problem in probabilistic modeling consists of the determination of the distribution function of a positive random variable, in particular a hitting time, from its Laplace transform. In this note we use two versions of the method of maximum entropy to invert the Laplace transform using a few of its values on the real line, or equivalently a few fractional moments of the exponential of the variable. To compare the performance of the methods, we consider some simple one dimensional examples in which the Laplace transform can be computed by solving a differential equation exactly, and comparisons can be made.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume410
dc.relation.citationstartpage244
dc.relation.citationendpage252
dc.contributor.orcidter Horst, Enrique [0000-0001-5153-1475]
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopusGzyl, Henryk [6701665186]
dc.contributor.scopuster Horst, Enrique [25655619900]
dc.description.orcidhttps://orcid.org/0000-0001-5153-1475
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=6701665186
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=25655619900
dc.identifier.eissn1873-2119
dc.relation.ispartofjournalPhysica A: Statistical Mechanics and its Applications
dc.identifier.doihttps://doi.org/10.1016/j.physa.2014.05.035
dc.rights.coarhttp://vocabularies.coar-repositories.org/access_rights/c_16ec/


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