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arXiv · 1709.01210

Truncated fractional moments of stable laws

John P. Nolan
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Abstract

Expressions are given for the truncated fractional moments $E X_+^p$ of a general stable law. These involve families of special functions that arose out of the study of multivariate stable densities and probabilities. As a particular case, an expression is given for $E(X-a)_+$ when $\alpha > 1$.

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John P. Nolan. 2017-09-05. Truncated fractional moments of stable laws. https://arxiv.org/abs/1709.01210

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