Let {Xk, k ≥ 1} be a sequence of independent, identically distributed nonnegative random variables with common distribution function F and finite expectation $\mu > 0$. Under the assumption that the ...

A new algorithm is presented for simulating stable random variables on a digital computer for arbitrary characteristic exponent $\alpha(0 < \alpha \leq 2)$ and skewness parameter β(-1 ≤ β ≤ 1). The ...