Cumulant Approach of Arbitrary Truncated Levy Flight

Dmitry V. Vinogradov

Papers from arXiv.org

Abstract: The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved. The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found. The influence of truncation shape on the truncated Levy flight properties in the Gaussian and the Levy regimes has been investigated.

Date: 2010-06, Revised 2010-10
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Citations: View citations in EconPapers (3)

Published in Physica A 389 (2010) 5794-5800

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1006.2489

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