Phys. Rev. Lett. 73, 2946–2949 (1994)Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy FlightReceived 18 May 1994; published in the issue dated 28 November 1994 We introduce a class of stochastic process, the truncated Lévy flight (TLF), in which the arbitrarily large steps of a Lévy flight are eliminated. We find that the convergence of the sum of n independent TLFs to a Gaussian process can require a remarkably large value of n—typically n≈104 in contrast to n≈10 for common distributions. We find a well-defined crossover between a Lévy and a Gaussian regime, and that the crossover carries information about the relevant parameters of the underlying stochastic process. © 1994 The American Physical Society URL:
http://link.aps.org/doi/10.1103/PhysRevLett.73.2946
DOI:
10.1103/PhysRevLett.73.2946
PACS:
05.40.+j, 02.50.-r
See AlsoComment: Michael F. Shlesinger, Comment on “Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight”, Phys. Rev. Lett. 74, 4959 (1995). |
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