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IJSTR >> Volume 8 - Issue 8, August 2019 Edition



International Journal of Scientific & Technology Research  
International Journal of Scientific & Technology Research

Website: http://www.ijstr.org

ISSN 2277-8616



Scaling Of Student T-Distribution And Properties Of LÚvy-Student Processes

[Full Text]

 

AUTHOR(S)

K.W.S.N. Kumari

 

KEYWORDS

Student T-distribution, LÚvy processes, Heavy-tailed distribution, Modified LÚvy measure

 

ABSTRACT

The Student t-distribution can be applied in financial studies as heavy-tailed substitute to the normal distribution. The aim of this study is to explore the properties of Student t-distribution and LÚvy -Student processes under finance. For a suitable modification of the LÚvy measure of Student t-distribution, an explicit expression of its Fourier transform was calculated. It was shown that how the Fourier inversion of this function, which yields the density of the LÚvy measure. Further, LÚvy-student process is derived that nests the Brownian motion with subordinated by GIG distribution as parameters special case.

 

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