Cumulant approach of arbitrary truncated Levy flight

Dmitry V. Vinogradov

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 24, 5794-5800

Abstract: The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved. The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found. The influence of truncation shape on the truncated Levy flight properties in the Gaussian and the Levy regimes has been investigated.

Keywords: Stochastic processes; Truncated Levy flights; Cumulant approach (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:24:p:5794-5800

DOI: 10.1016/j.physa.2010.09.014

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