Orthonormal polynomial expansions and lognormal densities by Pierre-Olivier Goffard (PSTAT)

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.