Laplace Distributions and Processes

Olivier Le Courtois and Christian Walter ()

Chapter 6 in Extreme Financial Risks and Asset Allocation, 2014, pp 105-145 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The preceding chapter presented the class of stable distributions, as well as those Lévy processes that can be constructed from them. This chapter now turns to Laplace's first law of errors (1774), also known as the double exponential distribution, and the processes related to it. The Laplace distribution is infinitely divisible: as we saw in Chapter 4, this is an essential condition for it to be used as the distribution underlying a Lévy process…

Keywords: Lévy Process; Extreme Risks; Risk Management; Portfolio Management; Asset Allocation (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9781783263097_0006 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9781783263097_0006 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9781783263097_0006

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().