Ken Yamamoto, Takashi Bando, Hirokazu Yanagawa and Yoshihiro Yamazaki
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Deformation of power law in the double Pareto distribution using uniformly distributed observation time
The double Pareto distribution is a heavy-tailed distribution with a power-law tail, that is generated via geometric Brownian motion with an exponentially distributed observation time. In this study, we examine a modified model wherein the exponential distribution of the observation time is replaced with a continuous uniform distribution. The probability density, complementary cumulative distribution, and moments of this model are exactly calculated. Furthermore, the validity of the analytical calculations is discussed in comparison with numerical simulations of stochastic processes.
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JSTAT is targeted to a broad community interested in different aspects of statistical physics, which are roughly defined by the fields represented in the conferences called ''Statistical Physics''. Submissions from experimentalists working on all the topics which have some ''connection to statistical physics are also strongly encouraged.
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1. Quantum statistical physics, condensed matter, integrable systems
Scientific Directors: Eduardo Fradkin and Giuseppe Mussardo
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