Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes
Abstract
We propose a fast and accurate algorithm generating Lévy stable stochastic processes of arbitrary index α ranging between 0.3 and 1.99. The scale parameter is also controllable. The algorithm is very fast when α lies between 0.75 and 1.95.
- Publication:
-
Physical Review E
- Pub Date:
- May 1994
- DOI:
- 10.1103/PhysRevE.49.4677
- Bibcode:
- 1994PhRvE..49.4677M
- Keywords:
-
- 02.70.-c;
- 02.50.-r;
- 05.40.+j;
- Computational techniques;
- simulations;
- Probability theory stochastic processes and statistics