scientific article; zbMATH DE number 3947305

zbMATH Open0589.60015MaRDI QIDQ3717907FDOQ3717907

Publication date: 1986

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On a generalization of stable distributions

characteristic function stable distributions characterizations application of stable distributions estimation of stable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Cited In (only showing first 100 items - show all)

Option pricing beyond Black-Scholes based on double-fractional diffusion
Generalised fractional evolution equations of Caputo type
Supersymmetric quantum mechanics with Lévy disorder in one dimension
Modelling tail risk with tempered stable distributions: an overview
Heat kernel estimates for pseudodifferential operators, fractional Laplacians and Dirichlet-to-Neumann operators
Codifference as a practical tool to measure interdependence
The stochastic nature of complexity evolution in the fractional systems
Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
Time-Changed Processes Governed by Space-Time Fractional Telegraph Equations
Selection from a stable box
On the Convergence Rate in Precise Asymptotics
Risk processes perturbed by α-stable Lévy motion
Positivity of integrated random walks
An application of the Fourier transform to sections of star bodies
Estimation of the activity of jumps in time-changed Lévy models
Regularity and strict positivity of densities for the nonlinear stochastic heat equation
Intersection bodies in \(\mathbb{R}^4\)
On temporally completely monotone functions for Markov processes
The Busemann-Petty problem for arbitrary measures
A rate of convergence in the Poissonian representation of stable distributions
Blow-up for a non-linear stable non-Gaussian process in fractional time
The Self‐Similar and Multifractal Nature of a Network Traffic Model
Self-similar solutions in one-dimensional kinetic models: a probabilistic view
Invariance principles for Galton-Watson trees conditioned on the number of leaves
Some explicit identities associated with positive self-similar Markov processes
Bessel processes and hyperbolic Brownian motions stopped at different random times
On the rate of convergence of sums of extremes to a stable law
A stochastic equation for the law of the random Dirichlet variance
Local asymptotic normality for the scale parameter of stable processes.
Path properties of subdiffusion --- a martingale approach
Optimal Controls for Fractional Backward Nonlocal Evolution Systems
Average sample number function for Pareto heavy tailed distributions
Robust estimation of \(U\)-statistics
Spectrum of non-Hermitian heavy tailed random matrices
Structural properties of semilinear SPDEs driven by cylindrical stable processes
On characterization of multivariate stable distributions via random linear statistics
A note on mixture representations for the Linnik and Mittag-Leffler distributions and their applications
A note on functional limit theorems for compound Cox processes
Product representations for random variables with Weibull distributions and their applications
Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
Sharper estimates on the eigenvalues of Dirichlet fractional Laplacian
On fractional tempered stable processes and their governing differential equations
Multivariate versions and two problems of Schoenberg
Modal properties of stable, nearly symmetric distributions
The asymptotics of stable measures on \(\mathbb R^n\) for small values of the exponent
On the speed of spread for fractional reaction-diffusion equations
Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
Higher order PDEs and symmetric stable processes
Unimodality of Boolean and monotone stable distributions
Asymptotic stochastic dominance rules for sums of i.i.d. random variables
Statistical estimation of parameters of fractionally stable distributions
Fractional governing equations for coupled random walks
Nash type inequalities for fractional powers of non-negative self-adjoint operators
On the fractional counterpart of the higher-order equations
Sharp heat kernel estimates for relativistic stable processes in open sets
Ergodic properties of anomalous diffusion processes
Portfolio diversification under local and moderate deviations from power laws
Refined eigenvalue bounds on the Dirichlet fractional Laplacian
Modeling of financial processes with a space-time fractional diffusion equation of varying order
Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
On the nonlinear modeling of shot noise
A low complexity robust detector in impulsive noise
On fractal nature of groundwater level fluctuations due to rainfall process
Euclidean quotients of finite metric spaces
Adaptive estimation of and oracle inequalities for probability densities and characteristic functions
INFINITE VARIANCE STABLE ARMA PROCESSES
Extremes of totally skewed stable motion
Stable distributions and Green's functions for fractional diffusions
Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise
Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations
In Memory of V. M. Zolotarev (02.27.1931--11.07.2019)
Model identification for infinite variance autoregressive processes
Minimax estimation of the noise level and of the deconvolution density in a semiparametric convolution model
Limit theorems for free Lévy processes
Notes on random walks in the Cauchy domain of attraction
Estimating the Renewal Function When the Second Moment Is Infinite
Positive stable densities and the bell-shape
A note on the asymptotic distribution of the \(F\)-statistic for random variables with infinite variance
Total positivity in stable semigroups
The impact of hierarchically constrained dynamics with a finite mean of cluster sizes on relaxation properties
Calculation of multidimensional stable densities
Likelihood-free Bayesian inference for \(\alpha\)-stable models
Well-posedness and regularity of the Cauchy problem for nonlinear fractional in time and space equations
Asymptotically stable random walks of index \(1 < \alpha < 2\) killed on a finite set
Almost isometric operators: functional model, invariant subspaces, commutant
Sub-exponential tail bounds for conditioned stable Bienaymé-Galton-Watson trees
Anomalous diffusion with ballistic scaling: a new fractional derivative
Monte Carlo inference in econometric models with symmetric stable disturbances
Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
A geometric theory for Lévy distributions
Limit theorems for a generalized Feller game
Limit distributions for doubly stochastically rarefied renewal processes and their properties
On the Power-Variance Family of Probability Distributions
Efficient computations of \(\ell _1\) and \(\ell _{\infty }\) rearrangement distances
Inversion of the space and time of stable Lévy processes
Generalized negative binomial distributions as mixed geometric laws and related limit theorems
Monte Carlo EM estimation for multivariate stable distributions
Convergence results for compound Poisson distributions and applications to the standard Luria–Delbrück distribution
Estimation of Mittag-Leffler parameters

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