The Moment-Generating Function of the Log-Normal Distribution Using the Star Probability Measure

Authors: Yuri Heymann

The motivation of this study is to investigate new methods for the calculation of the moment-generating function of the lognormal distribution. Taylor expansion method on the moments of the lognormal suffers from divergence issues, saddle-point approximation is not exact, and integration methods can be complicated. In the present paper we introduce a new probability measure that we refer to as the star probability measure as an alternative approach to compute the moment-generating function of normal variate functionals such as the lognormal distribution.

Comments: 16 Pages.

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Submission history

[v1] 2017-06-21 18:06:54 (removed)
[v2] 2017-09-24 06:03:17 (removed)
[v3] 2017-10-10 12:46:06 (removed)
[v4] 2017-10-12 02:17:11 (removed)
[v5] 2017-10-13 00:04:37 (removed)
[v6] 2017-10-14 03:28:07 (removed)
[v7] 2017-10-17 16:05:40 (removed)
[v8] 2017-10-19 01:25:40 (removed)
[v9] 2017-10-21 02:06:58 (removed)
[vA] 2017-10-22 15:26:25 (removed)
[vB] 2017-10-25 00:33:05 (removed)
[vC] 2017-12-15 11:39:56 (removed)
[vD] 2017-12-29 12:16:12 (removed)
[vE] 2018-01-12 02:26:40 (removed)
[vF] 2018-01-13 02:00:24 (removed)
[vG] 2018-01-18 17:40:27
[vH] 2018-02-11 12:58:23
[vI] 2018-02-25 12:10:39
[vJ] 2018-12-30 03:49:29
[vK] 2019-01-23 00:17:52

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