Corrections to the Central Limit Theorem for Heavy-tailed Probability Densities

Author:

Lam Henry,Blanchet Jose,Burch Damian,Bazant Martin Z.

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference15 articles.

1. Bazant, M.Z.: 18.366 Random Walks and Diffusion, Lecture Notes, MIT OpenCourseWare, http://ocw.mit.edu/OcwWeb/Mathematics/18-366Fall-2006/LectureNotes/index.htm (See the notes and supplementary material for lecture 7) (2006)

2. Bender, C.M., Orszag, S.A.: Advanced Mathematical Methods for Scientists and Engineers: Asymptotic Methods and Perturbation Theory, 2nd edn. Springer, Berlin (1999)

3. Blanchet, J., Glynn, P.: Complete corrected diffusion approximations for the maximum of a random walk. Ann. Appl. Probab. 16(2), 951–983 (2006)

4. Bouchaud, J.P., Georges, M.: Anomalous diffusion in disordered media: Statistical mechanisms, models, and physical applications. Phys. Rep. 195(4–5), 127–293 (1990)

5. Bouchaud, J.P., Potters, M.: Theory of Financial Risks. Cambridge University Press, Cambridge (2000)

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