Lévy flights, also known as α-stable Lévy processes or heavy-tailed statistics, are becoming a commonly used tool in optics. Nonetheless, the different parametrizations and the absence of any analytic expression for the distribution functions (apart from some exceptions) makes it difficult to efficiently simulate such processes. We review and compare three algorithms for the generation of sequences of symmetric stable Lévy random variables.
Simulations of Lévy flights
FACCHI, PAOLO;PASCAZIO, Saverio
2009-01-01
Abstract
Lévy flights, also known as α-stable Lévy processes or heavy-tailed statistics, are becoming a commonly used tool in optics. Nonetheless, the different parametrizations and the absence of any analytic expression for the distribution functions (apart from some exceptions) makes it difficult to efficiently simulate such processes. We review and compare three algorithms for the generation of sequences of symmetric stable Lévy random variables.File in questo prodotto:
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