Cumulant approach of arbitrary truncated Levy flight

The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved. The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found. The influence of truncation shape on the truncated Levy flight properties in the Gaussian and the Levy regimes has been investigated.

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Year of publication:	2010
Authors:	Vinogradov, Dmitry V.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 389.2010, 24, p. 5794-5800
Publisher:	Elsevier
Subject:	Stochastic processes \| Truncated Levy flights \| Cumulant approach

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010591765