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Bilateral Laplace Transform

The bilateral Laplace transform extends the limits of integration of the unilateral Laplace transform to the entire real axis. This makes the unilateral transform a special case where the function is multiplied by the Heaviside step function. The inverse Laplace transform maps functions in the transform space back to the original function space. It is defined by a complex integral known as the Bromwich integral. In practice, decomposing the transform into known functions from a table and taking the inverse by inspection is often more convenient than using the integral. The Laplace transform in probability theory is defined as the expected value of a random variable X with probability density function f. Replacing s with -t gives the moment generating function of X.

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50 views

Bilateral Laplace Transform

The bilateral Laplace transform extends the limits of integration of the unilateral Laplace transform to the entire real axis. This makes the unilateral transform a special case where the function is multiplied by the Heaviside step function. The inverse Laplace transform maps functions in the transform space back to the original function space. It is defined by a complex integral known as the Bromwich integral. In practice, decomposing the transform into known functions from a table and taking the inverse by inspection is often more convenient than using the integral. The Laplace transform in probability theory is defined as the expected value of a random variable X with probability density function f. Replacing s with -t gives the moment generating function of X.

Uploaded by

vijay kumar honnali
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© © All Rights Reserved
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Bilateral Laplace transform[edit]

Main article: Two-sided Laplace transform


When one says "the Laplace transform" without qualification, the unilateral or one-sided transform is
usually intended. The Laplace transform can be alternatively defined as the bilateral Laplace
transform, or two-sided Laplace transform, by extending the limits of integration to be the entire real
axis. If that is done, the common unilateral transform simply becomes a special case of the bilateral
transform, where the definition of the function being transformed is multiplied by the Heaviside step
function.
The bilateral Laplace transform F(s) is defined as follows:

(Eq.2)

An alternate notation for the bilateral Laplace transform is , instead of F.

Inverse Laplace transform[edit]


Main article: Inverse Laplace transform
Two integrable functions have the same Laplace transform only if they differ on a set of Lebesgue
measure zero. This means that, on the range of the transform, there is an inverse transform. In fact,
besides integrable functions, the Laplace transform is a one-to-one mapping from one function
space into another in many other function spaces as well, although there is usually no easy
characterization of the range.
Typical function spaces in which this is true include the spaces of bounded continuous functions, the
space L∞(0, ∞), or more generally tempered distributions on (0, ∞). The Laplace transform is also
defined and injective for suitable spaces of tempered distributions.
In these cases, the image of the Laplace transform lives in a space of analytic functions in the region
of convergence. The inverse Laplace transform is given by the following complex integral, which is
known by various names (the Bromwich integral, the Fourier–Mellin integral, and Mellin's
inverse formula):

(Eq.3)

where γ is a real number so that the contour path of integration is in the region of convergence
of F(s). In most applications, the contour can be closed, allowing the use of the residue theorem. An
alternative formula for the inverse Laplace transform is given by Post's inversion formula. The limit
here is interpreted in the weak-* topology.
In practice, it is typically more convenient to decompose a Laplace transform into known transforms
of functions obtained from a table, and construct the inverse by inspection.

Probability theory[edit]
In pure and applied probability, the Laplace transform is defined as an expected value. If X is
a random variable with probability density function f, then the Laplace transform of f is given by the
expectation
By convention, this is referred to as the Laplace transform of the random variable X itself. Here,
replacing s by −t gives the moment generating function of X. The Laplace transform has applications
throughout probability theory, including first passage times of stochastic processes such as Markov
chains, and renewal theory.
Of particular use is the ability to recover the cumulative distribution function of a continuous random
variable X, by means of the Laplace transform as follows:[19]

Algebraic construction[edit]
The Laplace transform can be alternatively defined in a purely algebraic manner by applying a field
of fractions construction to the convolution ring of functions on the positive half-line. The
resulting space of abstract operators is exactly equivalent to Laplace space, but in this construction
the forward and reverse transforms never need to be explicitly defined (avoiding the related
difficulties with proving convergence)

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