An efficient algorithm for Levy stable stochastic processes
Copyright policy ) R. N. Mantegna;
An efficient algorithm for Levy stable stochastic processes
We present a new algorithm generating stochastic processes with a probability distribution very close to a Levy stable probability distribution characterized by the parameter α. The parameter α can be selected within the range 0.3≤α≤2. The algorithm is very efficient for 0.75≤α≤1.95.
- University of Palermo Italy
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