WKB approximation for the sum of two correlated lognormal random variables
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要In this paper we apply the idea of the WKB method to derive an effective single lognormal approximation for the probability distribution of the sum of two correlated lognormal variables. An approximate prob- ability distribution of the sum is determined in closed form, and illus- trative numerical examples are presented to demonstrate the validity and accuracy of the approximate distribution. Our analysis shows that the proposed method is able to provide a simple, efficient and accurate approximation to this probability distribution of the sum of two corre- lated lognormal variables. We also discuss how this new approach can be straightforwardly extended to study the sum of N lognormals. © 2013 C.F. Lo.
著者Lo C.F.
期刊名稱Applied Mathematical Sciences
出版年份2013
月份12
日期11
卷號7
期次125-128
出版社Hikari Ltd.
出版地Bulgaria
頁次6355 - 6367
國際標準期刊號1312-885X
語言英式英語
關鍵詞Backward kolmogorov equation, Lie-trotter splitting approximation, Lognormal random variables, Probability distribution func-tions, WKB approximation

上次更新時間 2020-02-08 於 01:47