Characteristic function of the positive part of a random variable and related results, with applications
Document Type
Article
Publication Date
11-1-2015
Abstract
© 2015 Elsevier B.V. Let X be an arbitrary real-valued random variable (r.v.), with the characteristic function (c.f.) f. Integral expressions for the c.f. of the r.v.'s max. (0, X) in terms of f are given, as well as other related results. Applications to stock options and random walks are presented. In particular, a more explicit and compact form of Spitzer's identity is obtained.
Publication Title
Statistics and Probability Letters
Recommended Citation
Pinelis, I.
(2015).
Characteristic function of the positive part of a random variable and related results, with applications.
Statistics and Probability Letters,
106, 281-286.
http://doi.org/10.1016/j.spl.2015.07.031
Retrieved from: https://digitalcommons.mtu.edu/michigantech-p/7120
