Communications in Applied Mathematics and Computational Science
- Commun. Appl. Math. Comput. Sci.
- Volume 7, Number 2 (2012), 231-246.
Approximation of probabilistic Laplace transforms and their inverses
We present a method to approximate the law of positive random variables defined by their Laplace transforms. It is based on the study of the error in the Laplace domain and allows for many behaviors of the law, both at and infinity. In most cases, both the Kantorovich/Wasserstein error and the Kolmogorov–Smirnov error can be accurately computed. Two detailed examples illustrate our results.
Commun. Appl. Math. Comput. Sci., Volume 7, Number 2 (2012), 231-246.
Received: 23 March 2012
Revised: 27 July 2012
Accepted: 16 August 2012
First available in Project Euclid: 20 December 2017
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 65R32: Inverse problems
Secondary: 65C50: Other computational problems in probability
Coqueret, Guillaume. Approximation of probabilistic Laplace transforms and their inverses. Commun. Appl. Math. Comput. Sci. 7 (2012), no. 2, 231--246. doi:10.2140/camcos.2012.7.231. https://projecteuclid.org/euclid.camcos/1513732057