On the Laplace transform of the Fréchet distribution

K. A. Penson, K. Górska

Published 2014-03-10, updated 2014-04-06Version 2

We calculate exactly the Laplace transform of the Fr\'{e}chet distribution in the form $\gamma x^{-(1+\gamma)} \exp(-x^{-\gamma})$, $\gamma > 0$, $0 \leq x < \infty$, for arbitrary rational values of the shape parameter $\gamma$, i.e. for $\gamma = l/k$ with $l, k = 1,2, \ldots$. The method employs the inverse Mellin transform. The closed form expressions are obtained in terms of Meijer G functions and their graphical illustrations are provided. A rescaled Fr\'{e}chet distribution serves as a kernel of Fr\'{e}chet integral transform. It turns out that the Fr\'{e}chet transform of one-sided L\'{e}vy law reproduces the Fr\'{e}chet distribution.