The rate of convergence to a stable law for the random sum of iid random variables
We investigate, using Monte Carlo method, the rate of convergence to asymptotic distribution for the random sum of iid random variables, known in statistical physics as Continuous-Time Random Walk (CTRW). The rate of convergence, estimated from the simulation, is in agreement with theory. Simulated densities are compared with the limiting Lévy-stable densities.
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