A Model for Persistent Levy Motion

Details A Model for Persistent Levy Motion A Model for Persistent Levy Motion

1999-03-26

arxiv.org/abs/cond-mat/9903400v1

Physics

Condensed Matter

Statistical Mechanics

14 pages, REVTeX, 5 figures PostScript

Scientific paper

10.1016/S0378-4371(99)00392-1

We propose the model, which allows us to approximate fractional Levy noise and fractional Levy motion. Our model is based (i) on the Gnedenko limit theorem for an attraction basin of stable probability law, and (ii) on regarding fractional noise as the result of fractional integration/differentiation of a white Levy noise. We investigate self - affine properties of the approximation and conclude that it is suitable for modeling persistent Levy motion with the Levy index between 1 and 2.

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