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Condensed Matter > Statistical Mechanics

Title: Deformation of power law in the double Pareto distribution using uniformly distributed observation time

Abstract: 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.
Comments: 13 pages, 7 figures
Subjects: Statistical Mechanics (cond-mat.stat-mech); Probability (math.PR)
MSC classes: 60J70
ACM classes: G.3
Journal reference: Journal of Statistical Mechanics 2024, 043405 (2024)
DOI: 10.1088/1742-5468/ad3a5c
Cite as: arXiv:2403.12091 [cond-mat.stat-mech]
  (or arXiv:2403.12091v2 [cond-mat.stat-mech] for this version)

Submission history

From: Ken Yamamoto [view email]
[v1] Thu, 14 Mar 2024 03:29:24 GMT (860kb)
[v2] Mon, 1 Apr 2024 07:38:16 GMT (868kb)

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