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Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes
Abstract
We propose a fast and accurate algorithm generating L\'evy stable stochastic processes of arbitrary index \ensuremath{\alpha} ranging between 0.3 and 1.99. The scale parameter is also controllable. The algorithm is very fast when \ensuremath{\alpha} lies between 0.75 and 1.95.
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Cites
Anomalous diffusion in disordered media: Statistical mechanisms, models and physical applications
Bouchaud, J.-P., & Georges, A. (1990) · Physics Reports · doi:10.1016/0370-1573(90)90099-n · Cited by 4,162
Cited by
An Introduction to Econophysics: Correlations and Complexity in Finance
Mantegna, R. N., Stanley, H. E., & Chriss, N. A. (2000) · Physics Today · doi:10.1063/1.1341926 · Cited by 2,297
Self-citationFlower pollination algorithm: A novel approach for multiobjective optimization
Yang, X.-S., Karamanoglu, M., & He, X. (2014) · Engineering Optimization · doi:10.1080/0305215x.2013.832237 · Cited by 629
Generalized simulated annealing
Tsallis, C., & Stariolo, D. A. (1996) · Physica A: Statistical Mechanics and its Applications · doi:10.1016/s0378-4371(96)00271-3 · Cited by 503
Nature-inspired optimization algorithms: Challenges and open problems
Yang, X.-S. (2020) · Journal of Computational Science · doi:10.1016/j.jocs.2020.101104 · Cited by 429
Sea-horse optimizer: a novel nature-inspired meta-heuristic for global optimization problems
Zhao, S., Zhang, T., Ma, S., & Wang, M. (2023) · Applied Intelligence · doi:10.1007/s10489-022-03994-3 · Cited by 328
Metadata
- Authors
- Mantegna, R. N.
- Venue
- Physical Review E
- Publisher
- American Physical Society (APS)
- Published
- 1994-05-01
- Volume
- 49
- Issue
- 5
- Pages
- 4677-4683
- ISSN
- 1063-651X (ISSN-L)
- 1095-3787
- OpenAlex
- W2010059576
- Cited by
- 856
- References
- 1
- FWCI
- 3.19
- Type
- journal article
- Language
- en
- Open access
- closed
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- Mantegna, R. N. (1994). Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes. Physical Review E. https://doi.org/10.1103/physreve.49.4677
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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