Related papers: Levy Stability Index from Multifractal Spectrum
Levy flights, characterized by the microscopic step index f, are for f<2 (the case of rare events) considered in short range and long range quenched random force fields with arbitrary vector character to first loop order in an expansion…
We develop a finite-horizon model in which liquid-asset returns exhibit Levy-stable scaling on a data-driven window [tau_UV, tau_IR] and aggregate into a finite-variance regime outside. The window and the tail index alpha are identified…
The correlation function measured in ultrarelativistic nuclear collisions is strongly non-Gaussian. Using two different models we study which effects can influence its shape and how much. In particular, we focus on the parametrizations…
We investigate the asymptotic behaviour of a reduced {\alpha}{\Omega}-dynamo model of magnetic field generation in spiral galaxies where fluctuation in the {\alpha}-effect results in a system with state-dependent stochastic perturbations.…
We suppose that a L\'evy process is observed at discrete time points. Starting from an asymptotically minimax family of estimators for the continuous part of the L\'evy Khinchine characteristics, i.e., the covariance, we derive a…
Erraticity analysis of multiparticle production data is introduced as a way of extracting the maximum amount of information on self-similar fluctuations. It is presented as the next logical step to take beyond the intermittency analysis. An…
A multistable system generated by a Piecewise Linear (PWL) system based on the jerky equation is presented. The systems behaviour is characterised by means of the Nearest Integer or round(x) function to control the switching events and to…
The peak of the two-particle Bose-Einstein correlation functions has a very interesting structure. It is often believed to have a multivariate Gaussian form. We show here that for the class of stable distributions, characterized by the…
We consider the Ornstein-Uhlenbeck process with a broad initial probability distribution (Levy distribution), which exhibits so-called non-spectral modes. The relaxation of such modes differs from those determined from the parameters of the…
Stable distributions are a celebrated class of probability laws used in various fields. The $\alpha$-stable process, and its exponentially tempered counterpart, the Classical Tempered Stable (CTS) process, are also prominent examples of…
A Langmuir wave (LW) model is constructed whose equilibria are consistent with stimulated Raman scatter optimization, with Hamiltonian dynamics and with rotational invariance. Linear instability analysis includes terms to all orders in wave…
Multistable L\'evy motions are extensions of L\'evy motions where the stability index is allowed to vary in time. Several constructions of these processes have been introduced recently, based on Poisson and Ferguson-Klass-LePage series…
This paper is concerned with incremental stability properties of nonlinear systems. We propose conditions to compute an upper bound on the incremental L2-gain and to assess incremental asymptotic stability of piecewise-affine (PWA) systems.…
This paper illustrates a procedure for fitting financial data with $\alpha$-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some…
In a scalar reaction-diffusion equation, it is known that the stability of a steady state can be determined from the Maslov index, a topological invariant that counts the state's critical points. In particular, this implies that pulse…
We examine deviations from Boltzmann-Gibbs statistics for partially equilibrated systems of finite size. We find that such systems are characterized by the Levy distribution whose non-extensivity parameter is related to the number of…
The purpose of this paper is to adapt the empirical characteristic function (ECF) method to stable, but possibly not inverse stable linear stochastic system driven by the increments of a Levy-process. A remarkable property of the ECF method…
In this paper we derive explicit formulas for the densities of Levy walks. Our results cover both jump-first and wait-first scenarios. The obtained densities solve certain fractional differential equations involving fractional material…
We consider a nonlinear stochastic differential equation driven by an $\alpha$-stable L\'{e}vy process ($1<\alpha<2$). We first obtain some regularity results for the probability density of its invariant measure via establishing the a…
The study of non-stationary processes whose local form has controlled properties is a fruitful and important area of research, both in theory and applications. We present here a construction of multifractional multistable processes, based…