Numerical Approximation of Probability Mass Functions via the Inverse Discrete Fourier Transform

First passage distributions of semi-Markov processes are of interest in fields such as reliability, survival analysis, and many others. Finding or computing first passage distributions is, in general, quite challenging. We take the approach of using characteristic functions (or Fourier transforms) and inverting them to numerically calculate the first passage distribution. Numerical inversion of characteristic functions can be unstable for a general probability measure. However, we show they can be quickly and accurately calculated using the inverse discrete Fourier transform for lattice distributions. Using the fast Fourier transform algorithm these computations can be extremely fast. In addition to the speed of this approach, we are able to prove a few useful bounds for the numerical inversion error of the characteristic functions. These error bounds rely on the existence of a first or second moment of the distribution, or on an eventual monotonicity condition. We demonstrate these techniques with two examples.     

Three-dimensional thermal shock problem of generalized thermoelastic half-space

A three-dimensional model of the generalized thermoelasticity with one relaxation time is established. The resulting non-dimensional coupled equations together with the Laplace and double Fourier transforms techniques are applied to a specific problem of a half space subjected to thermal shock and traction free surface. The inverses of Fourier transforms and Laplace transforms are obtained numerically by using the complex inversion formula of the transform together with Fourier expansion techniques. Numerical results for the temperature, thermal stress, strain and displacement distributions are represented graphically.     

A method for the numerical inversion of Laplace transforms

In this paper a numerical inversion method for Laplace transforms, based on a Fourier series expansion developed by Durbin [5], is presented. The disadvantage of the inversion methods of that type, the encountered dependence of discretization and truncation error on the free parameters, is removed by the simultaneous application of a procedure for the reduction of the discretization error, a method for accelerating the convergence of the Fourier series and a procedure that computes approximately the ‘best’ choice of the free parameters. Suitable for a given problem, the inversion method allows the adequate application of these procedures. Therefore, in a big range of applications a high accuracy can be achieved with only a few function evaluations of the Laplace transform. The inversion method is implemented as a FORTRAN subroutine.     

含参变量富里叶级数的Laplace变换求和法

本文建立了含参变量富里叶级数的Laplace变换求和定理.利用Laplace变换表可以求得许多在力学上有重要应用的新的含参变量富里叶级数的和式.     

窗口Fourier变换反演公式的级数表示——献给陆善镇教授75华诞

本文研究连续窗口Fourier变换的反演公式.与经典的积分重构公式不同,本文证明当窗函数满足合适的条件时,窗口Fourier变换的反演公式可以表示为一个离散级数.此外,本文还研究这一重构级数的逐点收敛及其在Lebesgue空间的收敛性.对于L^2空间,本文给出重构级数收敛的充分必要条件.     

在重力作用下的上覆无限热弹性流体对广义热弹性固体转动的影响

计及上覆无限热弹性流体的重力作用,沿界面有不同的外力作用时,研究广义热弹性固体的旋转变形问题.在Laplace和Fourier域内,通过积分变换,得到了位移、应力及温度分布的表达式.然后在物理域内,应用数值逆变换方法,得到这些分量的值,并讨论了该问题的一些特例.结果以图形方式给出,显示了介质的旋转以及重力作用的影响.     

An extension of the Euler Laplace transform inversion algorithm with applications in option pricing

We show that the Euler algorithm for Laplace transform inversion can be extended to functions defined on the entire real line, if they have specific decay features. Our objective is to apply the method to option pricing problems, specifically when inverting Laplace transforms of the option price in the logarithm of the strike.     

Tables of Fourier, Laplace and Hankel Transforms of (u,n)-Dimensional Generalized Functions

The present note contains the Tables of Fourier, Laplace and Hankel transforms of several dimensional generalized functions. They are, mainly, based on the Laplace transform of retarded, Lorentz-invariant functions and the Fourier transforms of causal distributions.     

On the summation of Schlömilch's series

ABSTRACT

Schlömilch's series is named after the German mathematician Oscar Xavier Schlömilch, who derived it in 1857 as a Fourier series type expansion in terms of the Bessel function of the first kind. However, except for Bessel functions, here we consider an expansion in terms of Struve functions or Bessel and Struve integrals as well. The method for obtaining a sum of Schlömilch's series in terms of the Bessel or Struve functions is based on the summation of trigonometric series, which can be represented in terms of the Riemann zeta and related functions of reciprocal powers and in certain cases can be brought in the closed form, meaning that the infinite series are represented by finite sums. By using Krylov's method we obtain the convergence acceleration of the trigonometric series.     

Magnetoelectroelastodynamic interaction of multiple arbitrarily oriented planar cracks

The problem of multiple arbitrarily oriented planar cracks in an infinite magnetoelectroelastic space under dynamic loadings is considered. An explicit solution to the problem is given in the Laplace transform domain in terms of suitable exponential Fourier integral representations. The unknown functions in the Fourier integrals are directly related to the Laplace transform of the jumps in the displacements, electric potential and magnetic potential across opposite crack faces and are to be determined by solving a system of hypersingular integral equations. Once the hypersingular integral equations are solved, the displacements, electric potential, magnetic potential and other quantities of interest such as the crack tip intensity factors may be easily computed in the Laplace transform domain and recovered in the physical space with the help of a suitable algorithm for inverting Laplace transforms.