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Laplace Distributions and Processes

In: Extreme Financial Risks and Asset Allocation

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  • Olivier Le Courtois
  • Christian Walter

Abstract

The preceding chapter presented the class of stable distributions, as well as those Lévy processes that can be constructed from them. This chapter now turns to Laplace's first law of errors (1774), also known as the double exponential distribution, and the processes related to it. The Laplace distribution is infinitely divisible: as we saw in Chapter 4, this is an essential condition for it to be used as the distribution underlying a Lévy process…

Suggested Citation

  • Olivier Le Courtois & Christian Walter, 2014. "Laplace Distributions and Processes," World Scientific Book Chapters, in: Extreme Financial Risks and Asset Allocation, chapter 6, pages 105-145, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781783263097_0006
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