A generalized Fourier transform and convolution on time scales

In this paper, we develop some important Fourier analysis tools in the context of time scales. In particular, we present a generalized Fourier transform in this context as well as a critical inversion result. This leads directly to a convolution for signals on two (possibly distinct) time scales as well as several natural classes of time scales which arise in this setting: dilated, closed under addition, and additively idempotent. We explore the properties of these time scales and demonstrate the utility of these concepts in discrete convolution, Mellin convolution, and transformations of a random variable.     

The Laplace transform and polynomial Trefftz method for a class of time dependent PDEs

In this paper, we present a new method for solving 1D time dependent partial differential equations based on the Laplace transform (LT). As a result, the problem is converted into a stationary boundary value problem (BVP) which depends on the parameter of LT. The resulting BVP is solved by the polynomial Trefftz method (PTM), which can be regarded as a meshless method. In PTM, the source term is approximated by a truncated series of Chebyshev polynomials and the particular solution is obtained from a recursive procedure. Talbot’s method is employed for the numerical inversion of LT. The method is tested with the help of some numerical examples.     

Approximations for optimal Laplace transform inversion

A function (p) of the Laplace transform operatorp is approximated by a finite linear combination of functions (p+ _r ), where (p) is a specific function ofp having a known analytic inverse (t), and is chosen in accordance with various considerations. Then parameters _r ,r=1, 2,...,n, and then corresponding coefficientsA _r of the (p + _r ) are determined by a least-square procedure. Then, the corresponding approximation to the inversef(t) of (p) is given by analytic inversion of _r=1 ⁿ A _r (p+ _r ). The method represents a generalization of a method of best rational function approximation due to the author [which corresponds to the particular choice (t)1], but is capable of yielding considerably greater accuracy for givenn.The computations for this paper were carried out on the CDC-6600 computer at the Computation Center of Tel-Aviv University. The author is grateful to Dr. H. Jarosch of the Weizmann Institute of Science Computer Center for use of their Powell minimization subroutine (Ref. 1).     

Truncation functions and Laplace transform

We note the increase in the parameter c of the symmetrized Laplace transform of a random variable truncated at level c. We illustrate this remark for both the exponential and the uniform variables.     

Line integrals and Green's formula on time scales

In this paper we study curves parametrized by a time scale parameter, introduce line delta and nabla integrals along time scale curves, and obtain an analog of Green's formula in the time scale setting.     

The h-Laplace and q-Laplace transforms

Starting with a general definition of the Laplace transform on arbitrary time scales, we specify the particular concepts of the h-Laplace and q-Laplace transforms. The convolution and inversion problems for these transforms are considered in some detail.     

The convolution of functions and distributions

The non-commutative convolution f∗g of two distributions f and g in D^′ is defined to be the limit of the sequence {(fτn)∗g}, provided the limit exists, where {τn} is a certain sequence of functions in D converging to 1. It is proved that

     

Moment-recovered approximations of multivariate distributions: The Laplace transform inversion

The moment-recovered approximations of multivariate distributions are suggested. This method is natural in certain incomplete models where moments of the underlying distribution can be estimated from a sample of observed distribution. This approach is applicable in situations where other methods cannot be used, e.g. in situations where only moments of the target distribution are available. Some properties of the proposed constructions are derived. In particular, procedures of recovering two types of convolutions, the copula and copula density functions, as well as the conditional density function, are suggested. Finally, the approximation of the inverse Laplace transform is obtained. The performance of moment-recovered construction is illustrated via graphs of a simple density function.     

Inverse two-sided Laplace transform for probability density functions

We present a method for the numerical inversion of two-sided Laplace transform of a probability density function. The method assumes the knowledge of the first M derivatives at the origin of the function to be antitransformed. The approximate analytical form is obtained by resorting to maximum entropy principle. Both entropy and L₁-norm convergence are proved. Some numerical examples are illustrated.     

A class of consistent tests for exponentiality based on the empirical Laplace transform

The Laplace transform (t=E[exp(–tX)]) of a random variable with exponential density exp(–x), x0, satisfies the differential equation (+t)(t)+(t=0, t0). We study the behaviour of a class of consistent (omnibus) tests for exponentiality based on a suitably weighted integral of % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqaqpepeea0xe9qqVa0l% b9peea0lb9sq-JfrVkFHe9peea0dXdarVe0Fb9pgea0xa9pue9Fve9% Ffc8meGabaqaciGacaGaaeqabaWaaeaaeaaakeaacaGGBbGaaiikai% qbeU7aSzaajaWaaSbaaSqaaGqaciaa-5gaaeqaaOGaey4kaSIaamiD% aiaacMcacqaHipqEcaWFNaWaaSbaaSqaaiaad6gaaeqaaOGaaiikai% aadshacaGGPaGaey4kaSIaeqiYdK3aaSbaaSqaaiaad6gaaeqaaOGa% aiikaiaadshacaGGPaGaaiyxamaaCaaaleqabaGaaGOmaaaaaaa!4C69!\[[(\hat \lambda _n + t)\psi '_n (t) + \psi _n (t)]^2 \], where % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqaqpepeea0xe9qqVa0l% b9peea0lb9sq-JfrVkFHe9peea0dXdarVe0Fb9pgea0xa9pue9Fve9% Ffc8meGabaqaciGacaGaaeqabaWaaeaaeaaakeaacuaH7oaBgaqcam% aaBaaaleaaieGacaWFUbaabeaaaaa!3A66!\[\hat \lambda _n \] is the maximum-likelihood-estimate of and _n is the empirical Laplace transform, each based on an i.i.d. sample X ₁,...,X _n .     

Tests of fit for the Rayleigh distribution based on the empirical Laplace transform

In this paper a class of goodness-of-fit tests for the Rayleigh distribution is proposed. The tests are based on a weighted integral involving the empirical Laplace transform. The consistency of the tests as well as their asymptotic distribution under the null hypothesis are investigated. As the decay of the weight function tends to infinity the test statistics approach limit values. In a particular case the resulting limit statistic is related to the first nonzero component of Neyman’s smooth test for this distribution. The new tests are compared with other omnibus tests for the Rayleigh distribution.     

Acceleration of the convergence of the Laguerre series in the problem of inverting the Laplace transform

When the Laplace transform is inverted numerically, the original function is sought in the form of a series in the Laguerre polynomials. To accelerate the convergence of this series, the Euler-Knopp method is used. The techniques for selecting the optimal value of the parameter of the transform on the real axis and in the complex plane are proposed.     

Oscillation of second-order damped dynamic equations on time scales

The study of dynamic equations on time scales has been created in order to unify the study of differential and difference equations. The general idea is to prove a result for a dynamic equation where the domain of the unknown function is a so-called time scale, which may be an arbitrary closed subset of the reals. This way results not only related to the set of real numbers or set of integers but those pertaining to more general time scales are obtained. In this paper, by employing the Riccati transformation technique we will establish some oscillation criteria for second-order linear and nonlinear dynamic equations with damping terms on a time scale . Our results in the special case when and extend and improve some well-known oscillation results for second-order linear and nonlinear differential and difference equations and are essentially new on the time scales , h>0, for q>1, , etc. Some examples are considered to illustrate our main results.     

Laguerre polynomials and the inverse Laplace transform using discrete data

We consider the problem of finding a function defined on (0,∞) from a countable set of values of its Laplace transform. The problem is severely ill-posed. We shall use the expansion of the function in a series of Laguerre polynomials to convert the problem in an analytic interpolation problem. Then, using the coefficients of Lagrange polynomials we shall construct a stable approximation solution. Error estimate is given. Numerical results are produced.     

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.     

The combined Laplace transform and new homotopy perturbation methods for stiff systems of ODEs

In this paper, we propose new technique for solving stiff system of ordinary differential equations. This algorithm is based on Laplace transform and homotopy perturbation methods. The new technique is applied to solving two mathematical models of stiff problem. We show that the present approach is relatively easy, efficient and highly accurate.     

Laplace Transform of Temperate Holomorphic Functions

Let V be n-dimensional complex vector space. The aim of this paper is to give an elementary proof of the isomorphism O ^t _V ^{^}[n] O ^t _V*, which quantizes the Fourier–Sato transform of the conic sheaf O ^t _V of temperate holomorphic functions