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Research Article Open access CC BY 4.0

A Generalized \(\alpha\)-Laplace Lévy Process

S. Satheesh

Asian Journal of Probability and Statistics · pp. 13–20 · Published 26 Aug 2022

10.9734/ajpas/2022/v19i330469

Abstract

Random time changed Lévy Processes are getting increased attention of late as they can account for a variety of features in data. In this article we discuss \(\alpha\)-Laplace Lévy Process and a generalization of it. Both are random time changed \(\alpha\)-stable Lévy Processes. We obtained a characterization of \(\alpha\)-Laplace Lévy Process and discuss the first passage time distribution of a generalized \(\alpha\)-Laplace Lévy Process. Interestingly, this first passage time follows a discrete distribution.

\(\alpha\)-Laplace characterization first passage time Laplace transform Lévy Processes moment generating function

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