article

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

Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1994 · Vol. 49(5) · pp. 4677–4683

Rosario N. Mantegna✉(University of Palermo)

View via DOI Publisher page

Abstract

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

Theoretical and Computational Physics Complex Systems and Time Series Analysis Stochastic processes and statistical mechanicsScale (ratio)AlgorithmStatistical physicsAlpha (finance)Stable processStochastic processComputer sciencePhysicsApplied mathematicsMathematics