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The calculation of the probability density of a strictly stable law at large XXX

6 March 2023
V. Saenko
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Abstract

The article is devoted to the problem of calculating the probability density of a strictly stable law at x→∞x\to\inftyx→∞. To solve this problem, it was proposed to use the expansion of the probability density in a power series. A representation of the probability density in the form of a power series and an estimate for the remainder term was obtained. This power series is convergent in the case 0<α<10<\alpha<10<α<1 and asymptotic at x→∞x\to\inftyx→∞ in the case 1<α<21<\alpha<21<α<2. The case α=1\alpha=1α=1 was considered separately. It was shown that in the case α=1\alpha=1α=1 the obtained power series was convergent for any ∣x∣>1|x|>1∣x∣>1 at N→∞N\to\inftyN→∞. It was also shown that in this case it was convergent to the density of g(x,1,θ)g(x,1,\theta)g(x,1,θ). An estimate of the threshold coordinate xεNx_\varepsilon^NxεN​, was obtained which determines the range of applicability of the resulting expansion of the probability density in a power series. It was shown that in the domain ∣x∣⩾xεN|x|\geqslant x_\varepsilon^N∣x∣⩾xεN​ this power series could be used to calculate the probability density.

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