Closed-form solutions for the Lévy-stable distribution

Abstract

The Lévy-stable distribution is the attractor of distributions which hold power laws with infinite variance. This distribution has been used in a variety of research areas, for example in economics it is used to model financial market fluctuations and in statistical mechanics as a numerical solution of fractional kinetic equations of anomalous transport. This function does not have an explicit expression and no uniform solution has been proposed yet. This paper presents a uniform analytical approximation for the Lévy-stable distribution based on matching power series expansions. For this solution, the trans-stable function is defined as an auxiliary function which removes the numerical issues of the calculations of the Lévy-stable. Then, the uniform solution is proposed as a result of an asymptotic matching between two types of approximations called "the inner solution" and "the outer solution". Finally, the results of analytical approximation are compared to the numerical results of the Lévy-stable distribution function, making this uniform solution valid to be applied as an analytical approximation.

Submitted to Physical Review E

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