On lognormal random variables: I-the characteristic function
نویسندگان
چکیده
منابع مشابه
The Sum and Difference of Two Lognormal Random Variables
We have presented a new unified approach to model the dynamics of both the sum and difference of two correlated lognormal stochastic variables. By the Lie-Trotter operator splitting method, both the sum and difference are shown to follow a shifted lognormal stochastic process, and approximate probability distributions are determined in closed form. Illustrative numerical examples are presented ...
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ژورنال
عنوان ژورنال: The Journal of the Australian Mathematical Society. Series B. Applied Mathematics
سال: 1991
ISSN: 0334-2700,1839-4078
DOI: 10.1017/s0334270000006901