For any function G(t) defined t ≥ 0 (like a cumulative probability distribution function), its Laplace-Stieltjes transform (LST) is defined as ∫∞ 0 e −st dG(t), Re(s) > 0. When the function G(t) is differentiable, it follows that the LST is equivalent to the regular Laplace transform of the derivative, say g(t) = dG(t)/dt.
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© 2001 Kluwer Academic Publishers
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Gass, S.I., Harris, C.M. (2001). Laplace-stieltjes transform . In: Gass, S.I., Harris, C.M. (eds) Encyclopedia of Operations Research and Management Science. Springer, New York, NY. https://doi.org/10.1007/1-4020-0611-X_516
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DOI: https://doi.org/10.1007/1-4020-0611-X_516
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Publisher Name: Springer, New York, NY
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