Inversion formula for infinitely divisible distributions
Probability
2021-03-10 v1
Abstract
The aim of this note is to prove the inversion formula, which can be used to compute the Levi measure of an infinitely divisible distribution from its characteristic function. Obtained formula is similar to the well-known inversion formula [2], which is used to compute the distribution function of a random variable from the corresponding characteristic function.
Cite
@article{arxiv.2103.00205,
title = {Inversion formula for infinitely divisible distributions},
author = {Evgeny Burnaev},
journal= {arXiv preprint arXiv:2103.00205},
year = {2021}
}
Comments
2 pages