3 papers
q-fin.ST2013
An Exactly Solvable Discrete Stochastic Process with Correlated Properties
Jongwook Kim, Junghyo Jo
We propose a correlated stochastic process of which the novel non-Gaussian probability mass function is constructed by exactly solving moment generating function. The calculation o…
math.ST2012
Heavy-Tail Distribution from Correlation of Discrete Stochastic Process
Jongwook Kim, Teppei Okumura
We propose a stochastic process driven by the memory effect with novel distributions which include both exponential and leptokurtic heavy-tailed distributions. A class of the distr…
q-fin.ST2012
Heavy-tail driven by memory
Jongwook Kim, Gabjin Oh
We propose a stochastic process driven by memory effect with novel distributions including both exponential and leptokurtic heavy-tailed distributions. A class of distribution is a…