Results 11 to 20 of about 16,593 (248)
Local Closure under Infinitely Divisible Distribution Roots and Esscher Transform
Mathematics, 2022 In this paper, we show that the local distribution class Lloc∩OSloc is not closed under infinitely divisible distribution roots, i.e., there is an infinitely divisible distribution which belongs to the class, while the corresponding Lévy distribution ...
Zhaolei Cui, Yuebao Wang, Hui Xu
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The Meixner process for financial data [PDF]
Megatrend Revija, 2015 The most famous Black-Scholes model is based on the assumption that the log-returns of financial data follow a normal distribution. Several studies performed show empirical evidence against such normality since the log-returns of most financial data show
Nannavecchia Antonella
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On Multivariate Quasi-infinitely Divisible Distributions [PDF]
, 2021 A quasi-infinitely divisible distribution on $\mathbb{R}^d$ is a probability distribution $μ$ on $\mathbb{R}^d$ whose characteristic function can be written as the quotient of the characteristic functions of two infinitely divisible distributions on $\mathbb{R}^d$. Equivalently, it can be characterised as a probability distribution whose characteristic
Berger, David +2 more
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Multivariate Escher Transformed Laplace Distribution and Its Generalization
Journal of Statistical Theory and Applications (JSTA), 2020 This paper we introduced a new distribution namely the multivariate Esscher transformed Laplace distribution. Various properties of the distribution are studied and the applications are discussed.
H Rimsha, Dais George
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Comparing Compound Poisson Distributions by Deficiency: Continuous-Time Case
Mathematics, 2022 In the paper, we apply a new approach to the comparison of the distributions of sums of random variables to the case of Poisson random sums. This approach was proposed in our previous work (Bening, Korolev, 2022) and is based on the concept of ...
Vladimir Bening, Victor Korolev
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Mathematics, 2023 Hyperbolic complete monotonicity property (HCM) is a way to check if a distribution is a generalized gamma (GGC), hence is infinitely divisible. In this work, we illustrate to which extent the Mittag-Leffler functions Eα,α∈(0,2], enjoy the HCM property ...
Nuha Altaymani, Wissem Jedidi
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Poissonian resetting of subdiffusion in a linear potential
Condensed Matter Physics, 2023 Resetting a stochastic process is an important problem describing the evolution of physical, biological and other systems which are continually returned to their certain fixed point. We consider the motion of a subdiffusive particle with a constant drift
A. A. Stanislavsky
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Analytic and Asymptotic Properties of the Generalized Student and Generalized Lomax Distributions
Mathematics, 2023 Analytic and asymptotic properties of the generalized Student and generalized Lomax distributions are discussed, with the main focus on the representation of these distributions as scale mixtures of the laws that appear as limit distributions in ...
Victor Korolev
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Lietuvos Matematikos Rinkinys, 2011 We consider the formal asymptotic expansion of probability distribution of the sums of independent random variables. The approximation was made by using infinitely divisible probability distributions.
Algimantas Bikelis +2 more
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Equivalence of Infinitely Divisible Distributions
The Annals of Probability, 1975 If $F$ is an infinitely divisible distribution function without a Gaussian component whose Levy spectral measure $M$ is absolutely continuous and $M(\mathbb{R}^1\backslash\{0\}) = \infty$, then $F$ is shown to have an a.e. positive density over its support; this support of $F$ is always an interval of the form $(-\infty, \infty), (-\infty, a\rbrack$ or
Hudson, William N., Tucker, Howard G.
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