Abstract:On Modeling the Probability Distribution of Stochastic Sums In the “Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions,” Das, Tsai, Kyriakou, and Fusai propose an efficient methodology for approximating the unknown probability distribution of a weighted stochastic sum or time integral. Resulting from earlier contributions based on continuous-time Markov chain approximations of one-dimensional Markov processes is the Laplace transform of the unknown distribution… Show more
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