Exponentially damped Lévy flights

DOI10.1016/S0378-4371(03)00363-7zbMath1027.60040OpenAlexW2146657445MaRDI QIDQ1397360

Raul Matsushita, Sergio Da Silva, Pushpa N. Rathie

Publication date: 27 July 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00363-7

zbMATH Keywords

feedbacktruncation parametersnonlinear least-square estimation

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05) Classical equilibrium statistical mechanics (general) (82B05)

Related Items (9)

Multivariate cumulants in outlier detection for financial data analysis ⋮ Bypassing the truncation problem of truncated Lévy flights ⋮ Between complexity of modelling and modelling of complexity: an essay on econophysics ⋮ Continuous Markovian model for Lévy random walks with superdiffusive and superballistic regimes ⋮ Modeling and simulation of financial returns under non-Gaussian distributions ⋮ International finance, Lévy distributions, and the econophysics of exchange rates ⋮ Moments for tempered fractional advection-diffusion equations ⋮ Lévy flight approximations for scaled transformations of random walks ⋮ Retrodicting with the truncated Lévy flight

Cites Work

• Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Introduction to Econophysics
• The Kalman-Lévy filter

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