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The calculation of the probability density of a strictly stable law at large XX

Abstract

The article is devoted to the problem of calculating the probability density of a strictly stable law at xx\to\infty. To solve this problem, it was proposed to use the expansion of the probability density in a power series. A representation of the probability density in the form of a power series and an estimate for the remainder term was obtained. This power series is convergent in the case 0<α<10<\alpha<1 and asymptotic at xx\to\infty in the case 1<α<21<\alpha<2. The case α=1\alpha=1 was considered separately. It was shown that in the case α=1\alpha=1 the obtained power series was convergent for any x>1|x|>1 at NN\to\infty. It was also shown that in this case it was convergent to the density of g(x,1,θ)g(x,1,\theta). An estimate of the threshold coordinate xεNx_\varepsilon^N, was obtained which determines the range of applicability of the resulting expansion of the probability density in a power series. It was shown that in the domain xxεN|x|\geqslant x_\varepsilon^N this power series could be used to calculate the probability density.

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