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Showing 1 to 20 of 28 for “"Laplace Transforms"”.
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Laplace transforms, probabilities and queues.
… we discuss a probabilistic interpretation of the Laplace transform of probability density functions (p.d.f.) for waiting times in queues. We interpret the Laplace transform of a p.d.f. as the probability that the corresponding random variable wins a race against (i.e., is less than) an exponential …
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Laplace Transforms on Vanishing Algebras
Made available in DSpace on 2014-12-11T18:23:49Z (GMT). No. of bitstreams: 1 7212374.pdf: 2177933 bytes, checksum: 05182f7cc47b2f4aa8ec3cdae80636cd (MD5) Previous issue date: 1971
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Distributions and Their Laplace Transforms
Made available in DSpace on 2014-12-04T21:02:52Z (GMT). No. of bitstreams: 1 0018108.pdf: 3201197 bytes, checksum: 613154812f434f5d0535d5c5abba6d5d (MD5) Previous issue date: 1956
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Theory of multidimensional Laplace transforms and boundary value problems
… several theorems on multidimensional Laplace transforms are developed. These theorems are applied to most commonly used special functions to obtain many new two and three dimensional Laplace transform pairs from known one and two dimensional Laplace transforms. Last, some boundary …
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Asian Options: Inverse Laplace Transforms and Martingale Methods Revisited
Arithmetic Asian options are difficult to price and hedge, since, at the present, no closed-form analytical solution exists to price them. This difficulty, moreover, has led to the development of various methods and models used to price these instruments. The purpose of this thesis is two-fold. …
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On Laplace transforms, generalized gamma convolutions, and their applications in risk aggregation
… background information: an introduction on the Laplace transform and an introduction on Generalized Gamma Convolutions (GGCs). The heart of this dissertation is the final three chapters comprised of three contributions to the literature. In Chapter 3, we study the analytical properties of the …
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Analytical solutions for temperature profile prediction in multi-layered pavement systems
… the method of separation of variables and the Laplace transforms. The derived theoretical solutions consider the pavement geometries, material thermal properties, solar radiation, and air temperature. Field validation justified that these analytical solutions generate reasonable temperature …
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Delay improvements from multiple wavelengths in an optical folded bus
… mostly queueing analysis, with extensive use of Laplace transforms and Z-transforms. The purpose of this comparison is to decide whether the improvements in delay are worth the extra costs of increasing the number of wavelengths in optical LANs.
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A Bivariate Renewal Process and Its Applications in Maintenance Policies
… replacement preventive maintenance policy. The Laplace transforms of the renewal functions (and densities) for these models are obtained. Definitions for bivariate availability functions are developed. Based on the derived CM and PM models, the Laplace transforms for their corresponding …
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The joint distribution of the maximum and duration of stochastic events driven by Pareto II observations
… survival function, moment-generating function, Laplace transforms, and covariance matrix. We also address the problem of parameter estimation using the method of maximum likelihood. Estimation is empirically verified using a simulation study. We also present results of modeling precipitation and …
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Contributions to the theory of stochastic orders
… two new stochastic orders based on ratios of Laplace transforms, and study various properties of the new orders. Among the many properties we discover, the most interesting ones are the relations between the new orders and some existing stochastic orders. In Chapter 3, we obtain various …
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Efficient numerical methods based on integral transforms to solve option pricing problems
… a class of numerical methods (based on integral transforms) to solve PDEs for pricing a variety of financial derivatives. Our approach is based on spectral discretization of the spatial (asset) derivatives and the use of inverse Laplace transforms to solve the resulting problem in time. The …
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A general linear systems theory on time scales : transforms, stability, and control.
… the arbitrary time scale setting by considering Laplace transforms, stability, controllability, and realizability. In particular, we revisit the definition of the Laplace transform by Bohner and Peterson in [10]. We provide sufficient conditions for a given function to be transformable, as well …
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Solidarity and ergodic properties of semi-Markov transition probabilities
… this is achieved mainly through the use of Laplace and Laplace-Stieltjes transforms and a frequent appeal to renewal theory. The mathematical tools needed for the task are developed in the first chapter. In the second chapter the solidarity nature of geometric ergodicity within an …
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Solidarity and ergodic properties of semi-Markov transition probabilities
… this is achieved mainly through the use of Laplace and Laplace-Stieltjes transforms and a frequent appeal to renewal theory. The mathematical tools needed for the task are developed in the first chapter. In the second chapter the solidarity nature of geometric ergodicity within an …
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Nonlinear Solutions to a Two-Layer Quasi-Geostrophic Model of the Gulf Stream
… obtained by methods of normal mode and Fourier-Laplace transforms. It is found that the set corresponding to the continuous spectrum is null and the set corresponding to the discrete spectrum is complete.</p> <p>The nonlinear solution is expanded in terms of the complete set of the …
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On intrinsic ultracontractivity of perturbed Levy processes and applications of Levy processes in actuarial mathematics
… we consider pricing the rider. We identify the Laplace transforms of the GMWB rider's risk-neutral values analytically, which leads to efficient solutions to its pricing problem. In the second part, we consider the intrinsic ultracontractivity of certain Levy processes under nonlocal …
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Applications of continued fractions in one and more variables
… a well-known method for numerical inversion of Laplace transforms is modified in two different ways to obtain exponential approximations. Differential-difference equations arising from certain Markov processes are solved by direct application of continued fractions and practical error estimates …
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Component availability for an age replacement preventive maintenance policy
… distributions are unique and independent. Laplace transforms are used to simplify model development. The age replacement period, T, is treated as a parameter during model development. The partial Laplace transform is developed to deal with truncated random time periods. A general model is …
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