Related papers: On classical and free stable laws
We investigate analytical properties of free stable distributions and discover many connections with their classical counterparts. Our main result is an explicit formula for the Mellin transform, which leads to explicit series…
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…
We investigate certain analytical properties of the free $\alpha-$stable densities on the line. We prove that they are all classically infinitely divisible when $\alpha\le 1$, and that they belong to the extended Thorin class when $\alpha…
Fox's H-function provide a unified and elegant framework to tackle several physical phenomena. We solve the space fractional diffusion equation on the real line equipped with a delta distribution initial condition and identify the…
We obtain a formula for the density of the free convolution of an arbitrary probability measure on the unit circle of $\mathbb{C}$ with the free multiplicative analogues of the normal distribution on the unit circle. This description relies…
We investigate conditions for logarithmic complete monotonicity of a quotient of two products of gamma functions, where the argument of each gamma function has different scaling factor. We give necessary and sufficient conditions in terms…
This paper explores various distributional aspects of random variables defined as the ratio of two independent positive random variables where one variable has an $\alpha$-stable law, for $0<\alpha<1$, and the other variable has the law…
Fix an irrational number $\alpha$. Let $X_1,X_2,\cdots$ be independent, identically distributed, integer-valued random variables with characteristic function $\varphi$, and let $S_n=\sum_{i=1}^n X_i$ be the partial sums. Consider the random…
A consequence of de Finetti's representation theorem is that for every infinite sequence of exchangeable 0-1 random variables $(X_k)_{k\geq1}$, there exists a probability measure $\mu$ on the Borel sets of $[0,1]$ such that $\bar X_n =…
Let ${\bf L}$ be the unit exponential random variable and ${\bf Z}_\alpha$ the standard positive $\alpha$-stable random variable. We prove that $\{(1-\alpha) \alpha^{\gamma_\alpha} {\bf Z}_\alpha^{-\gamma_\alpha}, 0< \alpha <1\}$ is…
The arbitrary functions principle says that the fractional part of $nX$ converges stably to an independent random variable uniformly distributed on the unit interval, as soon as the random variable $X$ possesses a density or a…
Suppose that $X_{1}$ and $X_{2}$ are two $*$-free (generally unbounded) random variables with Brown measures $\mu_{X_{1}}$ and $\mu_{X_{2}}$, respectively. Using properties of classical free additive convolutions, we develop a method for…
We obtain the closed form expressions for the densities of the product, quotient, power and scalar multiple of independent stable subordinators. Similar results for the independent inverse stable subordinators are discussed. This is…
Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the product $XY$ is derived. Some basic distributional properties are also derived, including…
We derive a necessary and sufficient condition for the sum of M independent continuous random variables modulo 1 to converge to the uniform distribution in L^1([0,1]), and discuss generalizations to discrete random variables. A consequence…
In this paper, we characterize several classes of continuous radial basis functions that can be employed to determine whether a interaction of a probability is zero or not. These functions encompass standard independence tests but also the…
The quotient of random variables with normal distributions is examined and proven to have have power law decay, with density $f\left( x\right) \simeq f_{0}x^{-2}$, with the coefficient depending on the means and variances of the numerator…
We study Boolean stable laws, $\mathbf{b}_{\alpha,\rho}$, with stability index $\alpha$ and asymmetry parameter $\rho$. We show that the classical scale mixture of $\mathbf{b}_{\alpha,\rho}$ coincides with a free mixture and also a monotone…
We display several examples of generalized gamma convoluted and hyperbolically completely monotone random variables related to positive $\alpha$-stable laws. We also obtain new factorizations for the latter, refining Kanter's and…
A one-dimensional model of classical diffusion in a random force field with a weak concentration $\rho$ of absorbers is studied. The force field is taken as a Gaussian white noise with $\mean{\phi(x)}=0$ and $\mean{\phi(x)\phi(x')}=g…