A model for persistent Levy motion

A.v Chechkin and V.Yu Gonchar

Physica A: Statistical Mechanics and its Applications, 2000, vol. 277, issue 3, 312-326

Abstract: We propose a model, which allows us to approximate fractional Levy noise and fractional Levy motion. Our model is based on: (i) the Gnedenko limit theorem for an attraction basin of stable probability law, and (ii) fractional noise as a result of fractional integration/differentiation of a white Levy noise. We investigate self-affine properties of the approximation and conclude that it is suitable for modeling persistent Levy motion with the Levy index between 1 and 2.

Keywords: Levy motion; Stable distribution; Fractional noise; Self-affinity (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:277:y:2000:i:3:p:312-326

DOI: 10.1016/S0378-4371(99)00392-1

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