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Let W(u) be a Wiener process. Then where V_t=f(W(t),tau) for 0<=tau=T-t<=T, and f in C^(2,1)((0,infty)×[0,T]). Note that while Ito's lemma was proved by Kiyoshi Ito (also ...

A joint distribution function is a distribution function D(x,y) in two variables defined by D(x,y) = P(X<=x,Y<=y) (1) D_x(x) = lim_(y->infty)D(x,y) (2) D_y(y) = ...

Let Q_i denote anything subject to weighting by a normalized linear scheme of weights that sum to unity in a set W. The Kolmogorov axioms state that 1. For every Q_i in W, ...

A statistic defined to improve the Kolmogorov-Smirnov test in the tails.

A discrete distribution of a random variable such that every possible value can be represented in the form a+bn, where a,b!=0 and n is an integer.

Given a function of the form y=a+blnx, (1) the coefficients can be found from least squares fitting as b = ...

Given a function of the form y=Ax^B, (1) least squares fitting gives the coefficients as b = ...

A method of displaying simple statistical parameters including hinges, the statistical median, and upper and lower values.

F_k[P_N(k)](x)=F_k[exp(-N|k|^beta)](x), where F is the Fourier transform of the probability P_N(k) for N-step addition of random variables. Lévy showed that beta in (0,2) for ...

Random walk trajectories which are composed of self-similar jumps. They are described by the Lévy distribution.