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Logarithmic convolution

In mathematics, the scale convolution of two functions and , also known as their logarithmic convolution or log-volution is defined as the function

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Jul 31, 2026
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In mathematics, the scale convolution of two functions s ( t ) {\displaystyle s(t)} and r ( t ) {\displaystyle r(t)} , also known as their logarithmic convolution or log-volution1 is defined as the function2

s l r ( t ) = r l s ( t ) = 0 s ( t a ) r ( a ) d a a {\displaystyle s*_{l}r(t)=r*_{l}s(t)=\int _{0}^{\infty }s\left({\frac {t}{a}}\right)r(a)\,{\frac {da}{a}}}

when this quantity exists.

Results

The logarithmic convolution can be related to the ordinary convolution by changing the variable from t {\displaystyle t} to v = log t {\displaystyle v=\log t} :2

s l r ( t ) = 0 s ( t a ) r ( a ) d a a = s ( t e u ) r ( e u ) d u = s ( e log t u ) r ( e u ) d u . {\displaystyle {\begin{aligned}s*_{l}r(t)&=\int _{0}^{\infty }s\left({\frac {t}{a}}\right)r(a)\,{\frac {da}{a}}\\&=\int _{-\infty }^{\infty }s\left({\frac {t}{e^{u}}}\right)r(e^{u})\,du\\&=\int _{-\infty }^{\infty }s\left(e^{\log t-u}\right)r(e^{u})\,du.\end{aligned}}}

Define f ( v ) = s ( e v ) {\displaystyle f(v)=s(e^{v})} and g ( v ) = r ( e v ) {\displaystyle g(v)=r(e^{v})} and let v = log t {\displaystyle v=\log t} , then

s l r ( v ) = f g ( v ) = g f ( v ) = r l s ( v ) . {\displaystyle s*_{l}r(v)=f*g(v)=g*f(v)=r*_{l}s(v).}
See also

See also

References

References

  1. Peter Buchen (2012). An Introduction to Exotic Option Pricing. Chapman and Hall/CRC Financial Mathematics Series. CRC Press. ISBN 9781420091021.
  2. "logarithmic convolution". Planet Math. 22 March 2013. Retrieved 15 September 2024.
External links

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