A Model for Persistent Levy Motion
Statistical Mechanics
2009-10-31 v1
Abstract
We propose the model, which allows us to approximate fractional Levy noise and fractional Levy motion. Our model is based (i) on the Gnedenko limit theorem for an attraction basin of stable probability law, and (ii) on regarding fractional noise as the 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.
Cite
@article{arxiv.cond-mat/9903400,
title = {A Model for Persistent Levy Motion},
author = {A. V. Chechkin and V. Yu. Gonchar},
journal= {arXiv preprint arXiv:cond-mat/9903400},
year = {2009}
}
Comments
14 pages, REVTeX, 5 figures PostScript