计算连续型随机变量线性组合分布的Laplace变换法

Laplace Transformation Method for Calculating Linear Combination Distribution of Continuous Random Variables

使用Laplace变换得到了计算相互独立的有界连续型随机变量的线性组合和非负连续型随机变量的正系数的线性组合的概率密度的一个新算法,可以避免使用卷积运算和Fourier变换,分析了该算法的优缺点。

Using Laplace transform,a new algorithm for calculating the probability density of the linear combination of the linear combination of independent bounded continuous random variables and the linear combination of the positive coefficients of the non-negative continuous random variables is obtained,which can avoid the use of convolution operation and Fourier transformation.Then,the advantages and disadvantages of the algorithm are analyzed.