Discrete random walk models for symmetric Levy-Feller diffusion processes

Rudolf Gorenflo; Gianni De Fabritiis; Francesco Mainardi

doi:10.1016/s0378-4371(99)00082-5

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Discrete random walk models for symmetric Levy-Feller diffusion processes

Rudolf Gorenflo·Gianni De Fabritiis·Francesco Mainardi

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Abstract

We propose a variety of models of random walk, discrete in space and time, suitable for simulating stable random variables of arbitrary index $α$ ($0< α\le 2$), in the symmetric case. We show that by properly scaled transition to vanishing space and time steps our random walk models converge to the corresponding continuous Markovian stochastic processes, that we refer to as Levy-Feller diffusion processes.

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BibTeX RIS

Rudolf Gorenflo, Gianni De Fabritiis, Francesco Mainardi. 1999-03-17. Discrete random walk models for symmetric Levy-Feller diffusion processes. https://doi.org/10.1016/s0378-4371(99)00082-5

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