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On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results

Published online by Cambridge University Press:  08 September 2016

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Abstract

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In this paper we develop methods for reducing the study, the computation, and the construction of stochastic functionals to those of standard concepts such as the moments of the pertinent random variables. Principally, our methods are based on the notion of ladder height densities and their Laguerre expansions, and our results provide a unifying framework for the distinct approaches of Dufresne (2000) and Schröder (2005).

Type
General Applied Probability
Copyright
Copyright © Applied Probability Trust 2006 

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