Asymptotic properties and numerical simulation of multidimensional Lévy walks

DOI10.1016/j.cnsns.2014.05.029zbMath1326.60067OpenAlexW2087036134MaRDI QIDQ2513844

Marcin Magdziarz, Marek Teuerle

Publication date: 29 January 2015

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2014.05.029

zbMATH Keywords

subordinationBrownian motionMonte Carlo methodsconvergence in distributionspectral measureanomalous diffusionscaling limits\(\alpha\)-stable Lévy motionmultidimensional Lévy walks

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Brownian motion (60J65) Diffusion processes (60J60) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

Related Items (12)

The modified Yule-Walker method for \(\alpha\)-stable time series models ⋮ Lévy walk with parameter dependent velocity: Hermite polynomial approach and numerical simulation ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Quenched trap model for Lévy flights ⋮ Diffusion limit of Lévy-Lorentz gas is Brownian motion ⋮ Densities of scaling limits of coupled continuous time random walks ⋮ Method of calculating densities for isotropic ballistic Lévy walks ⋮ Space-time coupled evolution equations and their stochastic solutions ⋮ A fractional Fokker-Planck control framework for subdiffusion processes ⋮ Coupled continuous time-random walks in quenched random environment ⋮ Limit properties of Lévy walks ⋮ Fractional diffusion equation with distributed-order material derivative. Stochastic foundations

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