Event Date:
Monday, November 20, 2017 - 3:30pm to 4:30pm
Title: Orthonormal polynomial expansions and lognormal densities
Abstract: Numerical methods geared toward the approximation of the probability density function of sum of lognormal random variables are considered. A method based on an expansion in terms of a baseline density and its associated orthonormal polynomials is presented. Different reference densities are envisaged, and comparison to well-established approximation techniques are also provided.
November 7, 2017 - 11:55pm