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Papers

Emergence of heavy-tailed skew distributions from the heat equation

https://doi.org/10.1016/j.physa.2016.11.095

  • Research Fields산업수학기반연구부
  • AuthorByoungSeon Choi, Hyuk Kang, M.Y.Choi
  • JournalPhysica A : Statistical Mechanics and its Applications 470 (2017
  • Link https://doi.org/10.1016/j.physa.2016.11.095
  • Classification of papersSCI

It is well known that the symmetric Gaussian function, called the fundamental solution, serves as the Green’s function of the heat equation. In reality, on the other hand, distribution functions obtained empirically often differ from the Gaussian function. This study presents a new solution of the heat equation, satisfying localized initial conditions like the Gaussian fundamental solution. The new solution corresponds to a hetero-mixture distribution, which generalizes the Gaussian distribution function to a skewed and heavy-tailed distribution, and thus provides a candidate for the empirical distribution functions.

It is well known that the symmetric Gaussian function, called the fundamental solution, serves as the Green’s function of the heat equation. In reality, on the other hand, distribution functions obtained empirically often differ from the Gaussian function. This study presents a new solution of the heat equation, satisfying localized initial conditions like the Gaussian fundamental solution. The new solution corresponds to a hetero-mixture distribution, which generalizes the Gaussian distribution function to a skewed and heavy-tailed distribution, and thus provides a candidate for the empirical distribution functions.