IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v106y2015icp281-286.html
   My bibliography  Save this article

Characteristic function of the positive part of a random variable and related results, with applications

Author

Listed:
  • Pinelis, Iosif

Abstract

Let X be an arbitrary real-valued random variable (r.v.), with the characteristic function (c.f.) f. Integral expressions for the c.f. of the r.v.’s max(0,X) in terms of f are given, as well as other related results. Applications to stock options and random walks are presented. In particular, a more explicit and compact form of Spitzer’s identity is obtained.

Suggested Citation

  • Pinelis, Iosif, 2015. "Characteristic function of the positive part of a random variable and related results, with applications," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 281-286.
    • Handle: RePEc:eee:stapro:v:106:y:2015:i:c:p:281-286
    DOI: 10.1016/j.spl.2015.07.031
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715215002722
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2015.07.031?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Iosif Pinelis, 2014. "An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality," Risks, MDPI, vol. 2(3), pages 1-44, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nassim Nicholas Taleb, 2018. "How Much Data Do You Need? An Operational, Pre-Asymptotic Metric for Fat-tailedness," Papers 1802.05495, arXiv.org, revised Nov 2018.
    2. Zafar Ahmad & Reilly Browne & Rezaul Chowdhury & Rathish Das & Yushen Huang & Yimin Zhu, 2023. "Fast American Option Pricing using Nonlinear Stencils," Papers 2303.02317, arXiv.org, revised Oct 2023.
    3. Iosif Pinelis, 2018. "Positive-part moments via characteristic functions, and more general expressions," Journal of Theoretical Probability, Springer, vol. 31(1), pages 527-555, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Labopin-Richard T. & Gamboa F. & Garivier A. & Iooss B., 2016. "Bregman superquantiles. Estimation methods and applications," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-33, March.
    2. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia," Risks, MDPI, vol. 6(4), pages 1-22, October.
    3. Iosif Pinelis, 2018. "Positive-part moments via characteristic functions, and more general expressions," Journal of Theoretical Probability, Springer, vol. 31(1), pages 527-555, March.
    4. Marchina, Antoine, 2019. "About the rate function in concentration inequalities for suprema of bounded empirical processes," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 3967-3980.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:106:y:2015:i:c:p:281-286. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.