Logarithmic convolution

From HandWiki

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. https://planetmath.org/logarithmicconvolution. 

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