Logarithmic convolution

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In mathematics, the scale convolution of two functions s(t) and r(t), also known as their logarithmic convolution or log-volution[1] is defined as the function[2]

s*lr(t)=r*ls(t)=0s(ta)r(a)daa

when this quantity exists.

Results

The logarithmic convolution can be related to the ordinary convolution by changing the variable from t to v=logt:[2]

s*lr(t)=0s(ta)r(a)daa=s(teu)r(eu)du=s(elogtu)r(eu)du.

Define f(v)=s(ev) and g(v)=r(ev) and let v=logt, then

s*lr(v)=f*g(v)=g*f(v)=r*ls(v).

See also

References

  1. Peter Buchen (2012). An Introduction to Exotic Option Pricing. Chapman and Hall/CRC Financial Mathematics Series. CRC Press. ISBN 9781420091021.
  2. 2.0 2.1 "logarithmic convolution". Planet Math. 22 March 2013. Retrieved 15 September 2024.

External links

This article incorporates material from logarithmic convolution on PlanetMath, which is licensed under the Creative Commons Attribution/Share-Alike License.