Multivariate stable distributions and generating densities

Hassan Fallahgoul, S. M. Hashemiparast, Frank J Fabozzi, Young Shin Kim

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3 Citations (Scopus)

Abstract

The probability density function of multivariate stable distributions only applies to special accessible cases. Consequently, because of the absence of an explicit solution for their probability distribution function, applications have been limited. In this paper, we present an analytic method for generating densities to resolve this problem. Some examples and special cases are discussed.

Original languageEnglish
Pages (from-to)324-329
Number of pages6
JournalApplied Mathematics Letters
Volume26
Issue number3
DOIs
Publication statusPublished - Mar 2013
Externally publishedYes

Keywords

  • Fractional calculus
  • Generating densities
  • Hill-Yosida theorem
  • Stable distributions

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