[Math] Moment Generating Function and Inverse Laplace transform

integrationlaplace transformmoment-generating-functions

I need to compute the inverse Laplace transform of the function

$$
M(t)=e^{\frac{t^2}{2}}
$$
Now, I know that this is a normal distribution with mean zero and variance 1, but how the computations are done? The formula for the inverse Laplace transform doesn't help me either… It would be great if somebody could help!

Best Answer

The inverse Laplace transform can be computed using the standard formula (see this page), which states that if $F$ is the Laplace transform of $f$, then $f$ can be recovered via the line integral $$f(t)=\frac{1}{2\pi i}\lim_{T\to\infty}\int_{\gamma-iT}^{\gamma+iT} e^{tz}F(z)dz$$ where $\gamma$ is suitably chosen. In our case, $F(z)=e^{z^2/2}$. This function is smooth over the whole complex plane, so (as explained on the wikipedia page) we may take $\gamma=0$, and the line integral is along the imaginary axis from $-iT$ to $iT$. Define a parameterisation of this path in the natural way i.e. $z:[-T,T]\rightarrow\mathbb{C}$ maps $s$ to $is$. Substituting $z(s)=is$ into the line integral gives $$\int_{-iT}^{iT} e^{tz}F(z)dz=\int_{-T}^{T}e^{ist}e^{-s^2/2}z'(s)ds=i\int_{-T}^{T}e^{ist}e^{-s^2/2}ds$$ Next, write $e^{ist}=\cos(st)+i\sin(st)$. Sine is an odd function so the sine term will evaluate to zero. We are therefore left with $$f(t)=\frac{1}{2\pi i}i\int_{-\infty}^{\infty}\cos(ts)e^{-s^2/2}ds=\frac{2i}{2\pi i}\int_0^\infty \cos(\sqrt2 tx)e^{-x^2}\sqrt2dx$$ where we have used the fact that cosine is an even function, and the substitution $x=s/\sqrt2$. This integral is well known - see this question/answer. Evaluating the integral, we finally get $$f(t)=\frac{2i}{2\pi i}\sqrt2 \frac{\sqrt\pi}{2}e^{-2t^2/4}=\frac{1}{\sqrt{2\pi}}e^{-t^2/2}$$

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