Lévy Processes in the Physical Sciences

Wojbor A. Woyczyński ()
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Wojbor A. Woyczyński: Case Western Reserve University, Department of Statistics and Center for Stochastic and Chaotic Processes in Science and Technology

A chapter in Lévy Processes, 2001, pp 241-266 from Springer

Abstract: Abstract We review a number of physical phenomena for which the Lévy processes and, in particular, α-stable processes can be used as a reasonable model. Examples from fluid mechanics, solid state physics, polymer chemistry, and mathematical finance leading to such non-Gaussian processes are described. For nonlinear problems, the asymptotic and approximation schemes are discussed. The article is written with both mathematical and physical sciences audiences in mind.

Keywords: Burger Equation; Anomalous Diffusion; Poisson Point Process; Martingale Problem; Levy Process (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-0197-7_11

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DOI: 10.1007/978-1-4612-0197-7_11

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