Geometric stable distributions in Banach spaces

Svetlozar T. Rachev; Gennady Samorodnitsky

doi:10.1007/BF02214274

Geometric stable distributions in Banach spaces

Svetlozar T. Rachev, Gennady Samorodnitsky

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

9 Scopus citations

Abstract

Geometric stable laws have become an object of attention in recent publications dealing with heavy tailed modeling. Many applications require understanding geometric stable laws on infinite dimensional spaces. This paper studies geometric stable laws on Banach spaces, and their place in the more general family of geometric infinitely divisible laws. Furthermore, we discuss rates of convergence in the domains of attraction of geometric stable laws in Banach spaces.

Original language	English
Pages (from-to)	351-373
Number of pages	23
Journal	Journal of Theoretical Probability
Volume	7
Issue number	2
DOIs	https://doi.org/10.1007/BF02214274
State	Published - Apr 1994

Keywords

Stable distribution
financial modeling
geometric stable distribution
limit theorems
probability in Banach spaces
rate-of-convergence problems

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10.1007/BF02214274

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title = "Geometric stable distributions in Banach spaces",

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AB - Geometric stable laws have become an object of attention in recent publications dealing with heavy tailed modeling. Many applications require understanding geometric stable laws on infinite dimensional spaces. This paper studies geometric stable laws on Banach spaces, and their place in the more general family of geometric infinitely divisible laws. Furthermore, we discuss rates of convergence in the domains of attraction of geometric stable laws in Banach spaces.

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KW - financial modeling

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KW - limit theorems

KW - probability in Banach spaces

KW - rate-of-convergence problems

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Geometric stable distributions in Banach spaces

Abstract

Keywords

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