Accurate computation of the MGF of the lognormal distribution and its application to sum of lognormals

@article{Tellambura2010AccurateCO,
  title={Accurate computation of the MGF of the lognormal distribution and its application to sum of lognormals},
  author={Chintha Tellambura and Damith Senaratne},
  journal={IEEE Transactions on Communications},
  year={2010},
  volume={58}
}
Sums of lognormal random variables (RVs) are of wide interest in wireless communications and other areas of science and engineering. Since the distribution of lognormal sums is not log-normal and does not have a closed-form analytical expression, many approximations and bounds have been developed. This paper develops two computational methods for the moment generating function (MGF) or the characteristic function (CHF) of a single lognormal RV. The first method uses classical complex… CONTINUE READING
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