# Stable distribution

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A probability distribution with the property that for any , , , , the relation (1)

holds, where and is a certain constant, is the distribution function of the stable distribution and is the convolution operator for two distribution functions.

The characteristic function of a stable distribution is of the form (2)

where , , , is any real number, and The number is called the exponent of the stable distribution. A stable distribution with exponent is a normal distribution, an example of a stable distribution with exponent is the Cauchy distribution, a stable distribution which is a degenerate distribution on the line. A stable distribution is an infinitely-divisible distribution; for stable distributions with exponent , , one has the Lévy canonical representation with characteristic ,  where is any real number.

A stable distribution, excluding the degenerate case, possesses a density. This density is infinitely differentiable, unimodal and different from zero either on the whole line or on a half-line. For a stable distribution with exponent , , one has the relations for , where is the density of the stable distribution. An explicit form of the density of a stable distribution is known only in a few cases. One of the basic problems in the theory of stable distributions is the description of their domains of attraction (cf. Attraction domain of a stable distribution).

In the set of stable distributions one singles out the set of strictly-stable distributions, for which equation (1) holds with . The characteristic function of a strictly-stable distribution with exponent ( ) is given by formula (2) with . For a strictly-stable distribution can only be a Cauchy distribution. Spectrally-positive (negative) stable distributions are characterized by the fact that in their Lévy canonical representation ( ). The Laplace transform of a spectrally-positive stable distribution exists if : where is the density of the spectrally-positive stable distribution with exponent , , , is a real number, and those branches of the many-valued functions , are chosen for which is real and for .

Stable distributions, like infinitely-divisible distributions, correspond to stationary stochastic processes with stationary independent increments. A stochastically-continuous stationary stochastic process with independent increments is called stable if the increment has a stable distribution.

How to Cite This Entry:
Stable distribution. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Stable_distribution&oldid=17558
This article was adapted from an original article by B.A. Rogozin (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article