General exact solution to the problem of the probability density for sums of random variables.

Phys Rev Lett

Global Business Creation Inc., Hachery Shibuya 104, 14-1 Sakuragaoka-cho, Shibuya-ku, Tokyo, 150-0031, Japan.

Published: August 2002

The exact explicit expression for the probability density p(N)(x) for a sum of N random, arbitrary correlated summands is obtained. The expression is valid for any number N and any distribution of the random summands. Most attention is paid to application of the developed approach to the case of independent and identically distributed summands. The obtained results reproduce all known exact solutions valid for the, so called, stable distributions of the summands. It is also shown that if the distribution is not stable, the profile of p(N)(x) may be divided into three parts, namely a core (small x), a tail (large x), and a crossover from the core to the tail (moderate x). The quantitative description of all three parts as well as that for the entire profile is obtained. A number of particular examples are considered in detail.

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http://dx.doi.org/10.1103/PhysRevLett.89.070201DOI Listing

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