Search Results - subject:"Stable random variables"

Truncated stable random variables: characterization and simulation

Soltani, A.; Shirvani, A. - In: Computational Statistics 25 (2010) 1, pp. 155-161

Persistent link: https://www.econbiz.de/10008596093

Klebanov, Lev B.; Slámová, Lenka - In: Statistics & Probability Letters 83 (2013) 6, pp. 1513-1519

The aim of this paper is to define the notion of stability for random variables on Z. A definition of discrete stable distributions is introduced and we study properties of such distributions. The generating functions are given, as well as the probabilities of lattice distribution. We show how...

Persistent link: https://www.econbiz.de/10011039949

Equivalent martingale measures for large financial markets in discrete time

Rásonyi, Miklós - In: Mathematical Methods of Operations Research 58 (2003) 3, pp. 401-415

random variables where we are able to give explicit necessary and sufficient conditions using market parameters. Copyright … equivalent to the existence of martingale measures in a strong sense. We also consider the Arbitrage Pricing Model with stable …

Persistent link: https://www.econbiz.de/10010999912

Equivalent martingale measures for large financial markets in discrete time

Rásonyi, Miklós - In: Computational Statistics 58 (2003) 3, pp. 401-415

Persistent link: https://www.econbiz.de/10010759500