Deformation of power law in the double Pareto distribution using uniformly distributed observation time

Author:

Yamamoto Ken,Bando Takashi,Yanagawa Hirokazu,Yamazaki Yoshihiro

Abstract

Abstract The double Pareto distribution is a heavy-tailed distribution with a power-law tail, that is generated via geometric Brownian motion with an exponentially distributed observation time. In this study, we examine a modified model wherein the exponential distribution of the observation time is replaced with a continuous uniform distribution. The probability density, complementary cumulative distribution, and moments of this model are exactly calculated. Furthermore, the validity of the analytical calculations is discussed in comparison with numerical simulations of stochastic processes.

Publisher

IOP Publishing

Reference30 articles.

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3