Table of contents |
2 Properties 3 Applications 4 Related Topics 5 References |
Often, s is a real variable, and in some cases we are interested only in a function g: [0,∞) → R, in which case the we integrate between 0 and ∞.
The Laplace-Stieltjes transform shares many properties with the Laplace transform.
One example is convolution: if g and h both map from the reals to the reals,
Laplace-Stieltjes transforms are frequently useful in theoretical and applied probability, and stochastic processes contexts. For example, if X is a random variable with distribution function F, then the Laplace-Stieltjes transform can be expressed in terms of expectation:
The Laplace-Stieltjes transform is closely related to other integral transforms, including the Fourier transform and the Laplace transform. In particular, note the following:
Definition
The Laplace-Stieltjes transform of a function g: R → R is the function
whenever the integral exists. The integral here is the Lebesgue-Stieltjes integral.
Properties
(where each of these transforms exists).Applications
Specific applications include first passage times of stochastic processes such as Markov chains, and renewal theory.Related Topics