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Stable Distributions and Processes

In: Extreme Financial Risks and Asset Allocation

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  • Olivier Le Courtois
  • Christian Walter

Abstract

The marginal distributions of a Lévy process are infinitely divisible. There are two families of distributions of this type: those that are stable under addition, and those that are not. The property of stability under addition of random variables means that when two or more random variables having this property are added, the resulting distribution remains the same, up to the scale of the parameters…

Suggested Citation

  • Olivier Le Courtois & Christian Walter, 2014. "Stable Distributions and Processes," World Scientific Book Chapters, in: Extreme Financial Risks and Asset Allocation, chapter 5, pages 77-104, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781783263097_0005
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