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Cumulant Approach of Arbitrary Truncated Levy Flight

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  • Dmitry V. Vinogradov

Abstract

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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  • Dmitry V. Vinogradov, 2010. "Cumulant Approach of Arbitrary Truncated Levy Flight," Papers 1006.2489, arXiv.org, revised Oct 2010.
    • Handle: RePEc:arx:papers:1006.2489
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    Cited by:

    1. Dmitry V. Vinogradov, 2012. "Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations," Papers 1205.3671, arXiv.org.
    2. Imai, Junichi & Kawai, Reiichiro, 2011. "On finite truncation of infinite shot noise series representation of tempered stable laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4411-4425.
    3. Vinogradov, Dmitry V., 2012. "Arbitrary truncated Levy flight: Asymmetrical truncation and high-order correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5584-5597.

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