An Asymptotic Evaluation of the Tail of a Multiple Symmetric Alpha-Stable Integral.

Abstract

Expand a multiple symmetric alpha stable integral multiple sums over f(t sub1,...,t sub n) dM(t sub 1)...dM(t sub n) into a Le Page type multiple series of transformed arrival times of a Poisson process. An exact evaluation of the limit of appropriately normalized tail distribution results from this representation. Keywords: Multiple stochastic integral; Stable Levy process; Poisson process.

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1988
Accession Number
ADA194570

Entities

People

  • Gennady Samorodnitsky
  • Jerzy Szulga

Organizations

  • University of North Carolina at Chapel Hill

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Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Classification
  • Convergence
  • Data Science
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  • Information Science
  • Integrals
  • North Carolina
  • Notation
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Fields of Study

  • Mathematics

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  • Military Training and Readiness Simulation
  • Statistical inference.