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
The peeling process of infinite Boltzmann planar maps
On simulation and properties of the stable law
Multivariate stable densities as functions of one dimensional projections
A triptych of discrete distributions related to the stable law
Atypical case of the dielectric relaxation responses and its fractional kinetic equation
Uniqueness of translation-covariant zero-temperature metastate in disordered Ising ferromagnets
Estimation of the parameters of fractional-stable laws by the method of minimum distance
Portfolio selection problems consistent with given preference orderings
A simple robust estimation method for the thickness of heavy tails
Pricing CDO tranches in an intensity based model with the mean reversion approach
Indirect Estimation of α-Stable Distributions and Processes
Estimating the degree of activity of jumps in high frequency data
Heavy-tailedness and threshold sex determination
Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
Parameter estimation for fractional Poisson processes
Multiplicative strong unimodality for positive stable laws
Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
Fractional diffusion equations and processes with randomly varying time
Relaxation dynamics of the fastest channel in multichannel parallel relaxation mechanism
From Sturm-Liouville problems to fractional and anomalous diffusions
The fractional Fick's law for non-local transport processes
On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
Asymptotic analysis of average case approximation complexity of Hilbert space valued random elements
Ruin probabilities and overshoots for general Lévy insurance risk processes
Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
Modeling fat tails in stock returns: a multivariate stable-GARCH approach

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