IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v391y2012i3p572-581.html
   My bibliography  Save this article

Generalized Langevin equation driven by Lévy processes: A probabilistic, numerical and time series based approach

Author

Listed:
  • Medino, Ary V.
  • Lopes, Sílvia R.C.
  • Morgado, Rafael
  • Dorea, Chang C.Y.

Abstract

Lévy processes have been widely used to model a large variety of stochastic processes under anomalous diffusion. In this note we show that Lévy processes play an important role in the study of the Generalized Langevin Equation (GLE). The solution to the GLE is proposed using stochastic integration in the sense of convergence in probability. Properties of the solution processes are obtained and numerical methods for stochastic integration are developed and applied to examples. Time series methods are applied to obtain estimation formulas for parameters related to the solution process. A Monte Carlo simulation study shows the estimation of the memory function parameter. We also estimate the stability index parameter when the noise is a Lévy process.

Suggested Citation

  • Medino, Ary V. & Lopes, Sílvia R.C. & Morgado, Rafael & Dorea, Chang C.Y., 2012. "Generalized Langevin equation driven by Lévy processes: A probabilistic, numerical and time series based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 572-581.
    • Handle: RePEc:eee:phsmap:v:391:y:2012:i:3:p:572-581
    DOI: 10.1016/j.physa.2011.09.025
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437111007631
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2011.09.025?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Luis Valdivieso & Wim Schoutens & Francis Tuerlinckx, 2009. "Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 1-19, February.
    2. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2003. "Autocorrelation as a source of truncated Lévy flights in foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 601-625.
    3. Press, S. J., 1972. "Multivariate stable distributions," Journal of Multivariate Analysis, Elsevier, vol. 2(4), pages 444-462, December.
    4. D. Brockmann & L. Hufnagel & T. Geisel, 2006. "The scaling laws of human travel," Nature, Nature, vol. 439(7075), pages 462-465, January.
    5. Dorea, Chang C.Y. & Guevara Otiniano, Cira E. & Matsushita, Raul & Rathie, Pushpa N., 2007. "Levy flight approximations for scaled transformations of random walks," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6343-6354, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Montagnon, Chris, 2017. "Forecasting with the Fokker–Planck model: Bayesian setting of parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 253-262.
    2. Montagnon, Chris, 2015. "A closed solution to the Fokker–Planck equation applied to forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 14-22.
    3. Montagnon, C.E., 2021. "Forecasting by splitting a time series using Singular Value Decomposition then using both ARMA and a Fokker Planck equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
    4. Karling, Maicon J. & Lopes, Sílvia R.C. & de Souza, Roberto M., 2023. "Multivariate α-stable distributions: VAR(1) processes, measures of dependence and their estimations," Journal of Multivariate Analysis, Elsevier, vol. 195(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ferreira, A.S. & Raposo, E.P. & Viswanathan, G.M. & da Luz, M.G.E., 2012. "The influence of the environment on Lévy random search efficiency: Fractality and memory effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3234-3246.
    2. Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
    3. Miguel Picornell & Tomás Ruiz & Maxime Lenormand & José Ramasco & Thibaut Dubernet & Enrique Frías-Martínez, 2015. "Exploring the potential of phone call data to characterize the relationship between social network and travel behavior," Transportation, Springer, vol. 42(4), pages 647-668, July.
    4. Varga, Levente & Tóth, Géza & Néda, Zoltán, 2017. "An improved radiation model and its applicability for understanding commuting patterns in Hungary," MPRA Paper 76806, University Library of Munich, Germany.
    5. Magdziarz, M. & Scheffler, H.P. & Straka, P. & Zebrowski, P., 2015. "Limit theorems and governing equations for Lévy walks," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4021-4038.
    6. Chaogui Kang & Yu Liu & Diansheng Guo & Kun Qin, 2015. "A Generalized Radiation Model for Human Mobility: Spatial Scale, Searching Direction and Trip Constraint," PLOS ONE, Public Library of Science, vol. 10(11), pages 1-11, November.
    7. Li, Ze-Tao & Nie, Wei-Peng & Cai, Shi-Min & Zhao, Zhi-Dan & Zhou, Tao, 2023. "Exploring the topological characteristics of urban trip networks based on taxi trajectory data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    8. Yury Khokhlov & Victor Korolev & Alexander Zeifman, 2020. "Multivariate Scale-Mixed Stable Distributions and Related Limit Theorems," Mathematics, MDPI, vol. 8(5), pages 1-29, May.
    9. Matsushita, Raul & Rathie, Pushpa & Da Silva, Sergio, 2003. "Exponentially damped Lévy flights," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 326(3), pages 544-555.
    10. Chen, Ning & Zhu, Xuzhen & Chen, Yanyan, 2019. "Information spreading on complex networks with general group distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 671-676.
    11. Camille Roth & Soong Moon Kang & Michael Batty & Marc Barthélemy, 2011. "Structure of Urban Movements: Polycentric Activity and Entangled Hierarchical Flows," PLOS ONE, Public Library of Science, vol. 6(1), pages 1-8, January.
    12. Toru Nakamura & Toru Takumi & Atsuko Takano & Fumiyuki Hatanaka & Yoshiharu Yamamoto, 2013. "Characterization and Modeling of Intermittent Locomotor Dynamics in Clock Gene-Deficient Mice," PLOS ONE, Public Library of Science, vol. 8(3), pages 1-8, March.
    13. Wang, Wenjun & Pan, Lin & Yuan, Ning & Zhang, Sen & Liu, Dong, 2015. "A comparative analysis of intra-city human mobility by taxi," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 134-147.
    14. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
    15. Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
    16. Barmak, D.H. & Dorso, C.O. & Otero, M., 2016. "Modelling dengue epidemic spreading with human mobility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 129-140.
    17. Christensen, Claire & Albert, István & Grenfell, Bryan & Albert, Réka, 2010. "Disease dynamics in a dynamic social network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(13), pages 2663-2674.
    18. Mondher Bellalah & Marc Lavielle, 2002. "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 99-130, June.
    19. Li, Jun & Fu, Siyao & He, Haibo & Jia, Hongfei & Li, Yanzhong & Guo, Yi, 2015. "Simulating large-scale pedestrian movement using CA and event driven model: Methodology and case study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 304-321.
    20. Qianqian Liu & Qun Wang, 2017. "A comparative study on uncooperative search models in survivor search and rescue," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 89(2), pages 843-857, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:391:y:2012:i:3:p:572-581. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.