Title
Closed-form solutions for the Lévy-stable distribution
Date Issued
03 July 2018
Access level
open access
Resource Type
journal article
Author(s)
Alonso-Marroquin F.
Harré M.S.
University of Sydney
Publisher(s)
American Physical Society
Abstract
The Lévy-stable distribution is the attractor of distributions which hold power laws with infinite variance. This distribution has been used in a variety of research areas; for example, in economics it is used to model financial market fluctuations and in statistical mechanics it is used as a numerical solution of fractional kinetic equations of anomalous transport. This function does not have an explicit expression and no uniform solution has been proposed yet. This paper presents a uniform analytical approximation for the Lévy-stable distribution based on matching power series expansions. For this solution, the trans-stable function is defined as an auxiliary function which removes the numerical issues of the calculations of the Lévy-stable distribution. Then, the uniform solution is proposed as a result of an asymptotic matching between two types of approximations called "the inner solution" and "the outer solution." Finally, the results of analytical approximation are compared to the numerical results of the Lévy-stable distribution function, making this uniform solution valid to be applied as an analytical approximation.
Volume
98
Issue
1
Number
012103
Language
English
OCDE Knowledge area
Economía Matemáticas aplicadas
Scopus EID
2-s2.0-85049746850
PubMed ID
Source
Physical Review E
ISSN of the container
24700045
Sources of information: Directorio de Producción Científica Scopus