Deformation of power law in the double Pareto distribution using uniformly distributed observation time
Ken Yamamoto, Takashi Bando, Hirokazu Yanagawa, Yoshihiro Yamazaki · Journal of Statistical Mechanics Theory and Experiment · 2024
Abstract The double Pareto distribution is a heavy-tailed distribution with a power-law tail, that is generated via geometric Brownian motion with an exponentially distributed observation time. In this study, we examine a modified model wherein the exponential distribution of the observation time is replaced with a continuous uniform distribution. The probability density, complementary cumulative distribution, and moments of this model are exactly calculated. Furthermore, the validity of the analytical calculations is discussed in comparison with numerical simulations of stochastic processes.