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

An 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...

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Autores:
Gzyl, Henryk
ter Horst, Enrique
Tipo de recurso:
Article of investigation
Fecha de publicación:
2014
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5129
Acceso en línea:
http://hdl.handle.net/10726/5129
https://doi.org/10.1016/j.physa.2014.05.035
Palabra clave:
Laplace transforms
Fractional moment problems
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License
Acceso Restringido
id CESA2_604fef9389e5c533892ac756b4c01afa
oai_identifier_str oai:repository.cesa.edu.co:10726/5129
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Gzyl, Henryk169316a4-12f8-4afb-8213-5a74cbb8f41a600ter Horst, Enriquebb497a43-c019-48d2-8bff-b5b9172cf707600ter Horst, Enrique [0000-0001-5153-1475]Gzyl, Henryk [6701665186]ter Horst, Enrique [25655619900]2023-06-21T22:23:11Z2023-06-21T22:23:11Z2014-09-150378-4371http://hdl.handle.net/10726/5129instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1873-2119https://doi.org/10.1016/j.physa.2014.05.035engElsevier BVLaplace transformsFractional moment problemsNumerical determination of hitting time distributions from their Laplace transforms : simple casesarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32Acceso Restringidohttp://vocabularies.coar-repositories.org/access_rights/c_16ec/http://purl.org/coar/access_right/c_16ecAn 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.https://orcid.org/0000-0001-5153-1475https://www.scopus.com/authid/detail.uri?authorId=6701665186https://www.scopus.com/authid/detail.uri?authorId=25655619900410244252Physica A: Statistical Mechanics and its Applications10726/5129oai:repository.cesa.edu.co:10726/51292023-09-18 09:37:55.124metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Numerical determination of hitting time distributions from their Laplace transforms : simple cases
title Numerical determination of hitting time distributions from their Laplace transforms : simple cases
spellingShingle Numerical determination of hitting time distributions from their Laplace transforms : simple cases
Laplace transforms
Fractional moment problems
title_short Numerical determination of hitting time distributions from their Laplace transforms : simple cases
title_full Numerical determination of hitting time distributions from their Laplace transforms : simple cases
title_fullStr Numerical determination of hitting time distributions from their Laplace transforms : simple cases
title_full_unstemmed Numerical determination of hitting time distributions from their Laplace transforms : simple cases
title_sort Numerical determination of hitting time distributions from their Laplace transforms : simple cases
dc.creator.fl_str_mv Gzyl, Henryk
ter Horst, Enrique
dc.contributor.author.spa.fl_str_mv Gzyl, Henryk
ter Horst, Enrique
dc.contributor.orcid.none.fl_str_mv ter Horst, Enrique [0000-0001-5153-1475]
dc.contributor.scopus.none.fl_str_mv Gzyl, Henryk [6701665186]
ter Horst, Enrique [25655619900]
dc.subject.none.fl_str_mv Laplace transforms
Fractional moment problems
topic Laplace transforms
Fractional moment problems
description An 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.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014-09-15
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:11Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:11Z
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 0378-4371
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5129
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1873-2119
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.physa.2014.05.035
identifier_str_mv 0378-4371
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1873-2119
url http://hdl.handle.net/10726/5129
https://doi.org/10.1016/j.physa.2014.05.035
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 410
dc.relation.citationstartpage.none.fl_str_mv 244
dc.relation.citationendpage.none.fl_str_mv 252
dc.relation.ispartofjournal.none.fl_str_mv Physica A: Statistical Mechanics and its Applications
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.local.none.fl_str_mv Acceso Restringido
dc.rights.coar.none.fl_str_mv http://vocabularies.coar-repositories.org/access_rights/c_16ec/
rights_invalid_str_mv Acceso Restringido
http://vocabularies.coar-repositories.org/access_rights/c_16ec/
http://purl.org/coar/access_right/c_16ec
dc.publisher.none.fl_str_mv Elsevier BV
publisher.none.fl_str_mv Elsevier BV
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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