Asymptotic properties and numerical simulation of multidimensional Lévy walks

DOI10.1016/j.cnsns.2014.05.029zbMath1326.60067MaRDI 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

subordination; Brownian motion; Monte Carlo methods; convergence in distribution; spectral measure; anomalous diffusion; scaling limits; \(\alpha\)-stable Lévy motion; multidimensional Lévy walks

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60F05: Central limit and other weak theorems

65C05: Monte Carlo methods

60J65: Brownian motion

60J60: Diffusion processes

60G52: Stable stochastic processes

60F17: Functional limit theorems; invariance principles

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