On Distribution of Product of Stable Laws
Probability
2014-12-10 v1
Abstract
We derive the probability distribution of product of two independent random variables, each distributed according the one-dimensional stable law. We represent the density by its power series and its asymptotic expansions. As Fox's H-functions with a particular choice of parameters well describe the densities of stable laws, we discuss the choice of parameters for Fox's H-function such that it matches the derived densities. As a consequence, we give representations of these particular Fox's H-functions in terms of its power series.
Keywords
Cite
@article{arxiv.1412.2809,
title = {On Distribution of Product of Stable Laws},
author = {Andrea Karlova},
journal= {arXiv preprint arXiv:1412.2809},
year = {2014}
}