Linear systems with Lévy fluctuations

Bruce J. West and V. Seshadri

Physica A: Statistical Mechanics and its Applications, 1982, vol. 113, issue 1, 203-216

Abstract: We have examined the response of multivariable linear systems to Lévy fluctuations. The characteristic function of the response is obtained explicitly as a function of time. Using the characteristic function, the fractional moments of the process are determined. The nature of the product rule obeyed by the characteristic function of a general linear dynamical system is elucidated.

Date: 1982
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:113:y:1982:i:1:p:203-216

DOI: 10.1016/0378-4371(82)90015-2

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