Discrete random walk models for symmetric Lévy–Feller diffusion processes

Rudolf Gorenflo, Gianni De Fabritiis and Francesco Mainardi

Physica A: Statistical Mechanics and its Applications, 1999, vol. 269, issue 1, 79-89

Abstract: We propose a variety of models of random walk, discrete in space and time, suitable for simulating stable random variables of arbitrary index α (0<α⩽2), in the symmetric case. We show that by properly scaled transition to vanishing space and time steps our random walk models converge to the corresponding continuous Markovian stochastic processes which we refer to as Lévy–Feller diffusion processes.

Keywords: Random walks; Stable probability distributions; Diffusion (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:269:y:1999:i:1:p:79-89

DOI: 10.1016/S0378-4371(99)00082-5

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