Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes
- 1 May 1994
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review E
- Vol. 49 (5), 4677-4683
- https://doi.org/10.1103/physreve.49.4677
Abstract
We propose a fast and accurate algorithm generating Lévy stable stochastic processes of arbitrary index α ranging between 0.3 and 1.99. The scale parameter is also controllable. The algorithm is very fast when α lies between 0.75 and 1.95.Keywords
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