APS » PROLA » Phys. Rev. E » Volume 49 » Issue 5

Phys. Rev. E 49, 4677 - 4683 (1994)

Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes
Download: Page Images , PDF (1026 kB) , Figure Images, or Buy this Article (Use Article Pack) Export: BibTeX or EndNote (RIS)

Rosario Nunzio Mantegna
Dipartimento di Energetica ed Applicazioni di Fisica, Università degli Studi, viale delle Scienze, I-90128 Palermo, Italy

Received 28 October 1993

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


©1994 The American Physical Society

URL: http://link.aps.org/abstract/PRE/v49/p4677
DOI: 10.1103/PhysRevE.49.4677
PACS: 02.70.-c, 02.50.-r, 05.40.+j

[ Abstract  |  Previous article  |  Next article  |  Issue 5 ]