On the Extreme Flights of One-Sided Levy Processes

Details On the Extreme Flights of One-Sided Levy Processes On the Extreme Flights of One-Sided Levy Processes

2003-07-13

arxiv.org/abs/cond-mat/0307308v1

Physics

Condensed Matter

Statistical Mechanics

21 pages. This manuscript is an extended version of a contribution to a special Physica A volume in honor of Shlomo Havlin on

Scientific paper

We explore the statistical behavior of the order statistics of the flights of One-sided Levy Processes (OLPs). We begin with the study of the extreme flights of general OLPs,and then focus on the class of selfsimilar processes,investigating the following issues:(i)the inner hierarchy of the extreme flights - for example:how big is the 7th largest flight relative to the 2nd largest one?; and,(ii)the relative contribution of the extreme flights to the entire 'flight aggregate' - for example: how big is the 3rd largest flight relative to the OLP's value?. Furthermore, we show that all 'hierarchical' results obtained - but not the 'aggregate' results - are explicitly extendable to the class of OLPs with arbitrary power-law flight tails (which is far larger than the selfsimilar class).

Affiliated with

Also associated with

No associations

Rating

On the Extreme Flights of One-Sided Levy Processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On the Extreme Flights of One-Sided Levy Processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On the Extreme Flights of One-Sided Levy Processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-618578