The calculation of the distribution function of a strictly stable law at large X

arXiv2303.12488MaRDI QIDQ6430451FDOQ6430451

Authors: Viacheslav V. Saenko 

Publication date: 22 March 2023

Abstract: The paper considers the problem of calculating the distribution function of a strictly stable law at $xoinfty$. To solve this problem, an expansion of the distribution function in a power series was obtained, and an estimate of the remainder term was also obtained. It was shown that in the case $alpha<1$ this series was convergent for any $x$, in the case $alpha=1$ the series was convergent at $Noinfty$ in the domain $|x|>1$, and in the case $alpha>1$ the series was asymptotic at $xoinfty$. The case $alpha=1$ was considered separately and it was demonstrated that in that case the series converges to the generalized Cauchy distribution. An estimate for the threshold coordinate $x_{v}arepsilo{n}^N$ was obtained which determined the area of applicability of the obtained expansion. It was shown that in the domain $|x|geqslant{x}_{v}arepsilo{n}^N$ this power series could be used to calculate the distribution function, which completely solved the problem of calculating the distribution function at large $x$.

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

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