A direct approach to the stable distributions
Probability
2016-04-26 v1
Abstract
The explicit form for the characteristic function of a stable distribution on the line is derived analytically by solving the associated functional equation and applying theory of regular variation, without appeal to the general L\'evy-Khintchine integral representation of infinitely divisible distributions.
Cite
@article{arxiv.1604.07350,
title = {A direct approach to the stable distributions},
author = {E. J. G. Pitman and Jim Pitman},
journal= {arXiv preprint arXiv:1604.07350},
year = {2016}
}
Comments
24 pages