Modern Stochastics: Theory and Applications

In this paper, new closed form formulae for moments of the (generalized) Student’s t-distribution are derived in the one dimensional case as well as in higher dimensions through a unified probability framework. Interestingly, the closed form expressions for the moments of the Student’s t-distribution can be written in terms of the familiar Gamma function, Kummer’s confluent hypergeometric function, and the hypergeometric function. This work aims to provide a concise and unified treatment of the moments for this important distribution.

The expected exit time from the interval $[-1,1]$ is investigated for an autoregressive process defined recursively by Here, ε is a small positive parameter, $f:\mathbb{R}\mapsto \mathbb{R}$ is usually a contractive function and ${\{{\xi _{n}}\}_{n\ge 1}}$ is a sequence of i.i.d. random variables. In this paper, previous results for a linear function $f(x)=ax$ are extended to more general cases, with the main focus on piecewise linear functions.