Dipartimento di Matematica, Politecnico di Milano, Piazza L. da Vinci 32, I-20133, Milan, Italy
Abstract:
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.