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

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