Justin Miles | Searcharxiv

arXiv2020

On the rate of convergence of the Gaver-Stehfest algorithm

The Gaver-Stehfest algorithm is widely used for numerical inversion of Laplace transform. In this paper we provide the first rigorous study of the rate of convergence of the Gaver-Stehfest algorithm. We prove that Gaver-Stehfest approximations converge exponentially fast if the target function is analytic in a neighbourhood of a point and they converge at a rate $o(n^{-k})$ if the target function is $(2k+3)$-times differentiable at a point.

math.NA↗

arXiv2018

The Laplace transform of the lognormal distribution

We study the analytical properties of the Laplace transform of the lognormal distribution. Two integral expressions for the analytic continuation of the Laplace transform of the lognormal distribution are provided, one of which takes the form of a Mellin-Barnes integral. As a corollary, we obtain an integral expression for the characteristic function; we show that the integral expression derived by Leipnik in [11] is incorrect. We present two approximations for the Laplace transform of the lognormal distribution, both valid in $\mathbb{C} \setminus(-\infty,0]$. In the last section, we discuss how one may use our results to compute the density of a sum of independent lognormal random variables.

math.PR↗