Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes

1994/05/01 by Rosario N. Mantegna, Rosario Nunzio Mantegna
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Complex Systems and Time Series Analysis #Stochastic processes and statistical mechanics #Theoretical and Computational Physics

paper · doi:10.1103/physreve.49.4677

openalex publication_date 1994/05/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/27

Abstract

We propose a fast and accurate algorithm generating L'evy stable stochastic processes of arbitrary index \ensuremathα ranging between 0.3 and 1.99. The scale parameter is also controllable. The algorithm is very fast when \ensuremathα lies between 0.75 and 1.95.

Citations

• Diffusion in disordered media

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