Abstract
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 present two approximations for the Laplace transform of the lognormal distribution, both valid in ℂ∖(−∞,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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
