I am trying to formalise the result that the sum of two independent Levy-distributed (having parameter $c$) random variables has also Levy distribution with parameter $4c$.

Idea of the proof By Levy-Hitchin theorem one can derive the characteristic function of Levy distribution and then apply the inverse Fourier transform.

My question is, is there a more intuitive a less computational way to deduce the Levy distribution?

Levy distribution:



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.