Related papers: From moment explosion to the asymptotic behavior o…
We establish the one-to one bilateral interrelations between an asymptotic behavior for the tail of distributions for random variables and its great moments evaluation. Our results generalize the famous Richter's ones.
We consider a stochastic volatility model where the moment generating function of the logarithmic price is finite only on part of the real line. Using a new Tauberian result obtained in [1] and [2], we show that the knowledge of the moment…
We introduce a novel method for obtaining a wide variety of moments of any random variable with a well-defined moment-generating function (MGF). We derive new expressions for fractional moments and fractional absolute moments, both central…
The present manuscript is about application of It{\^o}'s calculus to the moment-generating function of the lognormal distribution. While Taylor expansion fails when applied to the moments of the lognormal due to divergence, various methods…
Sums of independent random variables form the basis of many fundamental theorems in probability theory and statistics, and therefore, are well understood. The related problem of characterizing products of independent random variables seems…
The cumulant generating function of time-averaged current is studied from an operational viewpoint. Specifically, for interacting Brownian particles under non-equilibrium conditions, we show that the first derivative of the cumulant…
In this paper, the statistical properties of the product of independent and non-identically distributed mixture Gamma (MG) random variables (RVs) are provided first. Specifically, simple exact closed-form expressions for the probability…
We find the moment generating function (mgf) of the nonequilibrium work for open systems undergoing a thermal process, ie, when the stochastic dynamics maps thermal states into time dependent thermal states. The mgf is given in terms of a…
We establish an ordinary as well as a logarithmical convexity of the Moment Generating Function (MGF) for the centered random variable and vector (r.v.) satisfying the Kramer's condition. Our considerations are based on the theory of the…
We analytically compute the full counting statistics of charge transfer in a classical automaton of interacting charged particles. Deriving a closed-form expression for the moment generating function with respect to a stationary equilibrium…
This paper presents a novel approach for propagating uncertainties in dynamical systems building on high-order Taylor expansions of the flow and moment-generating functions (MGFs). Unlike prior methods that focus on Gaussian distributions,…
This paper presents the probability distribution function (p.d.f.) and cumulative distribution function (c.d.f.) of the weighted sum of central independent chi-squared random variables with non-zero weighs based on a method using moment…
The statistical properties of the multivariate Gamma-Gamma ($\Gamma \Gamma$) distribution with arbitrary correlation have remained unknown. In this paper, we provide analytical expressions for the joint probability density function (PDF),…
The new numerical version of the Wigner approach to quantum mechanics for treatment thermodynamic properties of strongly coupled systems of particles has been developed for extreme conditions, when analytical approximations obtained in…
This survey provides a unified discussion of multiple integrals, moments, cumulants and diagram formulae associated with functionals of completely random measures. Our approach is combinatorial, as it is based on the algebraic formalism of…
The statistics of the output activity of a neuron during its stimulation by the stream of input impulses that forms the stochastic Poisson process is studied. The leaky integrate-and-fire neuron is considered as a neuron model. A new…
We interpret the moment generating function ${\bf E}(e^{tX}):= {\rm exp}_F(t) \in {\bf R}[[t]]$ of a random variable $X$ as the exponential of an associated one-dimensional formal group law $F$ defined over ${\bf R}$.
We offer in this paper the non-asymptotical pairwise bilateral exact up to multiplicative constants interrelations between exponential decreasing tail behavior, moments (Grand Lebesgue Spaces) norm and moment generating functions norm for…
The ratio of cumulant to factorial moments of experimental multiplicity distributions has been calculated for $e^{+}e^{-}$ and $hh$ interactions in a wide range of energies. As a function of the rank it exhibits an initial steep decrease…
We examine the generating function of the time-integrated energy for the one-dimensional Glauber-Ising model. At long times, the generating function takes on a large-deviation form and the associated cumulant generating function has…