A model for persistent Levy motion

被引：33

作者：

Chechkin, AV ^{[1
]}

Gonchar, VY ^{[1
]}

机构：

[1] Kharkov Phys & Technol Inst, Natl Sci Ctr, Inst Theoret Phys, UA-310108 Kharkov, Ukraine

来源：

PHYSICA A | 2000年 / 277卷 / 3-4期

关键词：

Levy motion; stable distribution; fractional noise; self-affinity;

D O I：

10.1016/S0378-4371(99)00392-1

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We propose a model, which allows us to approximate fractional Levy noise and fractional Levy motion. Our model is based on: (i) the Gnedenko limit theorem for an attraction basin of stable probability law, and (ii) fractional noise as a result of fractional integration/differentiation of a white Levy noise. We investigate self-affine properties of the approximation and conclude that it is suitable for modeling persistent Levy motion with the Levy index between 1 and 2. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：312 / 326

页数：15

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