The gradually truncated Lévy flight for systems with power-law distributions

Hari M. Gupta and José R. Campanha

Physica A: Statistical Mechanics and its Applications, 1999, vol. 268, issue 1, 231-239

Abstract: Power-law distributions have been observed in various economical and physical systems. Lévy flights have infinite variance which discourage a physical approach. We introduce a class of stochastic processes, the “gradually truncated Lévy flight” in which large steps of a Lévy flight are gradually eliminated. It has finite variance and the system can be analyzed in a closed form. We applied the present method to explain the distribution of a particular economical index. The present method can be applied to describe time series in a variety of fields, i.e. turbulent flow, anomalous diffusion, polymers, etc.

Keywords: Lévy flight; Power-law distributions; Stochastic processes; Stock market (search for similar items in EconPapers)
Date: 1999
References: View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:268:y:1999:i:1:p:231-239

DOI: 10.1016/S0378-4371(99)00028-X

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