Discrete random walk models for symmetric Levy-Feller diffusion processes

Details Discrete random walk models for symmetric Levy-Feller diffusion processes Discrete random walk models for symmetric Levy-Feller diffusion processes

1999-03-17

arxiv.org/abs/cond-mat/9903264v1

Physica A, Vol. 269, No 1, pp. 79-89, 1999.

Physics

Condensed Matter

Statistical Mechanics

13 pages, 3 figures, to be published in Physica A

Scientific paper

10.1016/S0378-4371(99)00082-5

We propose a variety of models of random walk, discrete in space and time, suitable for simulating stable random variables of arbitrary index $\alpha$ ($0< \alpha \le 2$), in the symmetric case. We show that by properly scaled transition to vanishing space and time steps our random walk models converge to the corresponding continuous Markovian stochastic processes, that we refer to as Levy-Feller diffusion processes.

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