Applied and Computational Math Seminar: Probabilistic and numerical aspects of stable distributions

Speaker:John P. Nolan, American University
Title: Probabilistic and numerical aspects of stable distributions

Abstract: Stable distributions are a class of probability distributions that generalize the Gaussian distribution. We review some of the probablistic and analytic properties of stable laws. Since there are no known no explicit formula for the density functions or distribution functions of the general stable law, we discuss numerical methods used to calculate these functions. We end with a look at the multivariate stable and related multivariate extreme value distributions, where there are still significant numerical problems. 

Time: Friday, February 3, 2017, 1:30-2:20 p.m.

Place: Exploratory Hall, Room 4106