FAST, ACCURATE ALGORITHM FOR NUMERICAL-SIMULATION OF LEVY STABLE STOCHASTIC-PROCESSES

被引：572

作者：

MANTEGNA, RN

机构：

[1] Dipartimento di Energetica ed Applicazioni di Fisica, Università degli Studi, I-90128 Palermo, viale delle Scienze

来源：

PHYSICAL REVIEW E | 1994年 / 49卷 / 05期

关键词：

D O I：

10.1103/PhysRevE.49.4677

中图分类号：

O35 [流体力学]; O53 [等离子体物理学];

学科分类号：

070204 ; 080103 ; 080704 ;

摘要：

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

引用

页码：4677 / 4683

页数：7

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