In this paper we consider the workload of a storage system with the unconventional feature that the arrival times, rather than the interarrival times, are independent and identically distributed samples from a given distribution. We start by analyzing the ‘base model’ in which the arrival times are exponentially distributed, leading to a closed-form characterization of the queue’s workload at a given moment in time (i.e. in terms of Laplace–Stieltjes transforms), assuming the initial workload was 0. Then we consider four more general models, each of them having a specific additional feature: (a) the initial workload being allowed to have any arbitrary non-negative value, (b) an additional stream of Poisson arrivals, (c) phase-type arrival times, (d) balking customers. For all four variants the transform of the transient workload is identified in closed form.

Multi-compartment models described by systems of linear ordinary differential equations are considered. Catenary models are a particular class where the compartments are arranged in a chain. A unified methodology based on the Laplace transform is utilised to solve direct and inverse problems for multi-compartment models. Explicit formulas for the parameters in a catenary model are obtained in terms of the roots of elementary symmetric polynomials. A method to estimate parameters for a general multi-compartment model is also provided. Results of numerical simulations are presented to illustrate the effectiveness of the approach.

We investigate the Hawkes processes on the positive real line exhibiting both self-excitation and inhibition. Each point of such a point process impacts its future intensity by the addition of a signed reproduction function. The case of a nonnegative reproduction function corresponds to self-excitation, and has been widely investigated in the literature. In particular, there exists a cluster representation of the Hawkes process which allows one to apply known results for Galton–Watson trees. We use renewal techniques to establish limit theorems for Hawkes processes that have reproduction functions which are signed and have bounded support. Notably, we prove exponential concentration inequalities, extending results of Reynaud-Bouret and Roy (2006) previously proven for nonnegative reproduction functions using a cluster representation no longer valid in our case. Importantly, we establish the existence of exponential moments for renewal times of M/G/$\infty$ queues which appear naturally in our problem. These results possess interest independent of the original problem.

We investigate convergence in the cone of completely monotone functions. Particular attention is paid to the approximation of and by exponentials and stretched exponentials. The need for such an analysis is a consequence of the fact that although stretched exponentials can be approximated by sums of exponentials, exponentials cannot in general be approximated by sums of stretched exponentials.

The valuation of perpetual timer options under the Hull–White stochastic volatility model is discussed here. By exploring the connection between the Hull–White model and the Bessel process and using time-change techniques, the triple joint distribution for the instantaneous volatility, the cumulative reciprocal volatility and the cumulative realized variance is obtained. An explicit analytical solution for the price of perpetual timer call options is derived as a Black–Scholes–Merton-type formula.

Transform-based algorithms have wide applications in applied probability, but rarely provide computable error bounds to guarantee the accuracy. We propose an inversion algorithm for two-sided Laplace transforms with computable error bounds. The algorithm involves a discretization parameter C and a truncation parameter N. By choosing C and N using the error bounds, the algorithm can achieve any desired accuracy. In many cases, the bounds decay exponentially, leading to fast computation. Therefore, the algorithm is especially suitable to provide benchmarks. Examples from financial engineering, including valuation of cumulative distribution functions of asset returns and pricing of European and exotic options, show that our algorithm is fast and easy to implement.

The aim of this article is to investigate the solutions of generalized fractional partial differential equations involving Hilfer time fractional derivative and the space fractional generalized Laplace operators, occurring in quantum mechanics. The solutions of these equations are obtained by employing the joint Laplace and Fourier transforms, in terms of the Fox’s H-function. Several special cases as solutions of one dimensional non-homogeneous fractional equations occurring in the quantum mechanics are presented. The results given earlier by Saxena et al. [Fract. Calc. Appl. Anal., 13(2) (2010), pp. 177–190] and Purohit and Kalla [J. Phys. A Math. Theor., 44 (4) (2011), 045202] follow as special cases of our findings.

This paper is concerned with the development of an efficient algorithm for the analytic solutions of nonlinear fractional differential equations. The proposed algorithm Laplace homotopy analysis method (LHAM) is a combined form of the Laplace transform method with the homotopy analysis method. The biggest advantage the LHAM has over the existing standard analytical techniques is that it overcomes the difficulty arising in calculating complicated terms. Moreover, the solution procedure is easier, more effective and straightforward. Numerical examples are examined to demonstrate the accuracy and efficiency of the proposed algorithm.

This paper presents three boundary meshless methods for solving problems of steady-state and transient heat conduction in nonlinear functionally graded materials (FGMs). The three methods are, respectively, the method of fundamental solution (MFS), the boundary knot method (BKM), and the collocation Trefftz method (CTM) in conjunction with Kirchhoff transformation and various variable transformations. In the analysis, Laplace transform technique is employed to handle the time variable in transient heat conduction problem and the Stehfest numerical Laplace inversion is applied to retrieve the corresponding time-dependent solutions. The proposed MFS, BKM and CTM are mathematically simple, easy-to-programming, meshless, highly accurate and integration-free. Three numerical examples of steady state and transient heat conduction in nonlinear FGMs are considered, and the results are compared with those from meshless local boundary integral equation method (LBIEM) and analytical solutions to demonstrate the efficiency of the present schemes.

We study the densities of uniform random walks in the plane. A special focus is on the case of short walks with three or four steps and, less completely, those with five steps. As one of the main results, we obtain a hypergeometric representation of the density for four steps, which complements the classical elliptic representation in the case of three steps. It appears unrealistic to expect similar results for more than five steps. New results are also presented concerning the moments of uniform random walks and, in particular, their derivatives. Relations with Mahler measures are discussed.

This paper proposes a Laplace-transform-based approach to price the fixed-strike quantile options as well as to calculate the associated hedging parameters (delta and gamma) under a hyperexponential jump diffusion model, which can be viewed as a generalization of the well-known Black-Scholes model and Kou's double exponential jump diffusion model. By establishing a relationship between floating- and fixed-strike quantile option prices, we can also apply this pricing and hedging method to floating-strike quantile options. Numerical experiments demonstrate that our pricing and hedging method is fast, stable, and accurate.

In this paper we consider a structural form credit risk model with jumps. We investigate the credit spread, the price, and the fair premium of the zero-coupon bond for the proposed model. The price and the fair premium of the bond are associated with the Laplace transform of default time and the firm's expected present market value at default. We give sufficient conditions under which the Laplace transform and the expected present market value of a firm at default are twice continuously differentiable. We derive closed-form expressions for them when the jumps have a hyperexponential distribution. Using the closed-form expressions, we obtain numerical solutions for the default probability, the credit spread, and the fair premium of the bond.

This paper deals with the study of transient waves in a homogeneous isotropic, solid halfspace with a permeating substance in the context of the theory of generalized elasto-thermodiffusion. The halfspace is assumed to be disturbed due to mechanical loads acting on its boundary. The model comprising of basic governing differential equations and boundary conditions has been solved by employing Laplace transform technique. Noting that the second sound effects are short lived, the small time approximations of solution for various physical quantities have been obtained and the results are discussed on the possible wave fronts. In case of continuous and periodic loads acting at the boundary, the displacement is found to be continuous at each wave front while it is discontinuous in case of impulsive load. The temperature and concentration fields are found to be discontinuous at all the wave fronts. The displacement, temperature change and concentration deviation due to impulsive, continuous and periodic mechanical loads have also been evaluated in the physical domain at all times by employing numerical inversion technique of integral transform. The computer simulated numerical results have been presented graphically in respect of displacement, temperature change and concentration deviation for brass. A significant effect of mass diffusion has been observed on the behaviour of mechanical and thermal waves.

In this paper we consider the splitting method first introduced in rare event analysis. In this technique, the sample paths are split into R multiple copies at various stages to speed up the simulation. Given the cost, the optimization of the algorithm suggests taking all the transition probabilities to be equal; nevertheless, in practice, these quantities are unknown. We address this problem by presenting an algorithm in two phases.

It is shown that, when expressing arguments in terms of their logarithms, the Laplace transform of a function is related to the antiderivative of this function by a simple convolution. This allows efficient numerical computations of moment generating functions of positive random variables and their inversion. The application of the method is straightforward, apart from the necessity to implement it using high-precision arithmetics. In numerical examples the approach is demonstrated to be particularly useful for distributions with heavy tails, such as lognormal, Weibull, or Pareto distributions, which are otherwise difficult to handle. The computational efficiency compared to other methods is demonstrated for an M/G/1 queueing problem.

We give a simplified proof of the complex inversion formula for semigroups and, more generally, solution families for scalar-type Volterra equations, including the stronger versions on unconditional martingale differences (UMD) spaces. Our approach is based on (elementary) Fourier analysis.

The paper offers a study of the inverse Laplace transforms of the functions ${{I}_{n}}\left( rs \right)\,{{\{sI_{n}^{\prime }\,\left( s \right)\}}^{-1}}$ where ${{I}_{n}}$ is the modified Bessel function of the first kind and $r$ is a parameter. The present study is a continuation of the author's previous work on the singular behavior of the special case of the functions in question, $r=1$. The general case of $r\,\in \,\left[ 0,\,1 \right]$ is addressed, and it is shown that the inverse Laplace transforms for such $r$ exhibit significantly more complex behavior than their predecessors, even though they still only have two different types of points of discontinuity: singularities and finite discontinuities. The functions studied originate from non-stationary fluid-structure interaction, and as such are of interest to researchers working in the area.

We establish Klar's (2002) conjecture about sharp reliability bounds for life distributions in the ℒα-class in reliability theory. The key idea is to construct a set of two-point distributions whose support points satisfy a certain system of equalities and inequalities.

Consider a countable list of files updated according to the move-to-front rule. Files have independent random weights, which are used to construct request probabilities. Exact and asymptotic formulae for the Laplace transform of the stationary search cost are given for i.i.d. weights. Similar expressions are derived for the first two moments. Some results are extended to the case of independent weights.

This paper studies the first passage times to flat boundaries for a double exponential jump diffusion process, which consists of a continuous part driven by a Brownian motion and a jump part with jump sizes having a double exponential distribution. Explicit solutions of the Laplace transforms, of both the distribution of the first passage times and the joint distribution of the process and its running maxima, are obtained. Because of the overshoot problems associated with general jump diffusion processes, the double exponential jump diffusion process offers a rare case in which analytical solutions for the first passage times are feasible. In addition, it leads to several interesting probabilistic results. Numerical examples are also given. The finance applications include pricing barrier and lookback options.