On the inverse transform of Laplace transforms that contain (products of) the parabolic cylinder function

Abstract

The Laplace transforms of the transition probability density and distribution functions for the Ornstein–Uhlenbeck process contain the product of two parabolic cylinder functions, namely and , respectively. The inverse transforms of these products have as yet not been documented. However, the transition density and distribution functions can be obtained by alternatively applying Doob's transform to the Kolmogorov equation and casting the problem in terms of Brownian motion. Linking the resulting transition density and distribution functions to their Laplace transforms then specifies the inverse transforms to the aforementioned products of parabolic cylinder functions. These two results, the recurrence relation of the parabolic cylinder function and the properties of the Laplace transform then enable the calculation of inverse transforms also for countless other combinations in the orders of the parabolic cylinder functions such as , and .