Search results for "Lévy"
showing 10 items of 77 documents
Random walks and random numbers from supercontinuum generation
2012
International audience; We report a numerical study showing how the random intensity and phase fluctuations across the bandwidth of a broadband optical supercontinuum can be interpreted in terms of the random processes of random walks and L´evy flights. We also describe how the intensity fluctuations can be applied to physical random number generation. We conclude that the optical supercontinuum provides a highly versatile means of studying and generating a wide class of random processes at optical wavelengths.
Stochastic response of linear and non-linear systems to α-stable Lévy white noises
2005
Abstract The stochastic response of linear and non-linear systems to external α -stable Levy white noises is investigated. In the literature, a differential equation in the characteristic function (CF) of the response has been recently derived for scalar systems only, within the theory of the so-called fractional Einstein–Smoluchowsky equations (FESEs). Herein, it is shown that the same equation may be built by rules of stochastic differential calculus, previously applied by one of the authors to systems driven by arbitrary delta-correlated processes. In this context, a straightforward formulation for multi-degree-of-freedom (MDOF) systems is also developed. Approximate CF solutions to the …
Thermalization of Levy flights: Path-wise picture in 2D
2013
We analyze two-dimensional (2D) random systems driven by a symmetric L\'{e}vy stable noise which, under the sole influence of external (force) potentials $\Phi (x) $, asymptotically set down at Boltzmann-type thermal equilibria. Such behavior is excluded within standard ramifications of the Langevin approach to L\'{e}vy flights. In the present paper we address the response of L\'{e}vy noise not to an external conservative force field, but directly to its potential $\Phi (x)$. We prescribe a priori the target pdf $\rho_*$ in the Boltzmann form $\sim \exp[- \Phi (x)]$ and next select the L\'evy noise of interest. Given suitable initial data, this allows to infer a reliable path-wise approxima…
Non-Gaussian noise effects in the dynamics of a short overdamped Josephson junction
2010
The role of thermal and non-Gaussian noise on the dynamics of driven short overdamped Josephson junctions is studied. The mean escape time of the junction is investigated considering Gaussian, Cauchy-Lorentz and Levy-Smirnov probability distributions of the noise signals. In these conditions we find resonant activation and the first evidence of noise enhanced stability in a metastable system in the presence of Levy noise. For Cauchy-Lorentz noise source, trapping phenomena and power law dependence on the noise intensity are observed.
Time characteristics of Lévy flights in a steep potential well
2013
Using the method previously developed for ordinary Brownian diffusion, we derive a new formula to calculate the correlation time of stationary Lévy flights in a steep potential well. For the symmetric quartic potential, we obtain the exact expression of the correlation time of steady-state Lévy flights with index α = 1. The correlation time of stationary Lévy flights decreases with an increasing noise intensity and steepness of potential well.
Nonlocal random motions: The trapping problem
2014
L\'evy stable (jump-type) processes are examples of intrinsically nonlocal random motions. This property becomes a serious obstacle if one attempts to model conditions under which a particular L\'evy process may be subject to physically implementable manipulations, whose ultimate goal is to confine the random motion in a spatially finite, possibly mesoscopic trap. We analyze thisissue for an exemplary case of the Cauchy process in a finiteinterval. Qualitatively, our observations extend to general jump-type processes that are driven by non-gaussian noises, classified by the integral part of the L\'evy-Khintchine formula.For clarity of arguments we discuss, as a reference model, the classic …
Nonlinear SDE Excited by External Lévy White Noise Processes
2011
A numerical method for approximating the statistics of the solution of nonlinear stochastic systems excited by Gaussian and non-Gaussian external white noises is proposed. The differential equation governing the evolution in time of the characteristic function is resolved by the convolution quadrature method. This approach is especially suited for those problems in which the nonlinear drift term is not of polynomial form. In such cases the equation governing the evolution in time of the characteristic function is not a partial differential equation. Statistics are found by introducing an integral operator of Wiener-Hopf type, called the transformation operator, and applying the Lubich's con…
Trajectory Statistics of Confined L\'evy Flights and Boltzmann-type Equilibria
2013
We analyze a specific class of random systems that are driven by a symmetric L\'{e}vy stable noise, where Langevin representation is absent. In view of the L\'{e}vy noise sensitivity to environmental inhomogeneities, the pertinent random motion asymptotically sets down at the Boltzmann-type equilibrium, represented by a probability density function (pdf) $\rho_*(x) \sim \exp [-\Phi (x)]$. Here, we infer pdf $\rho (x,t)$ based on numerical path-wise simulation of the underlying jump-type process. A priori given data are jump transition rates entering the master equation for $\rho (x,t)$ and its target pdf $\rho_*(x)$. To simulate the above processes, we construct a suitable modification of t…
Levy flights in steep potential wells: Langevin modeling versus direct response to energy landscapes
2020
We investigate the non-Langevin relative of the L\'{e}vy-driven Langevin random system, under an assumption that both systems share a common (asymptotic, stationary, steady-state) target pdf. The relaxation to equilibrium in the fractional Langevin-Fokker-Planck scenario results from an impact of confining conservative force fields on the random motion. A non-Langevin alternative has a built-in direct response of jump intensities to energy (potential) landscapes in which the process takes place. We revisit the problem of L\'{e}vy flights in superharmonic potential wells, with a focus on the extremally steep well regime, and address the issue of its (spectral) "closeness" to the L\'{e}vy jum…
LÉVY FLIGHT SUPERDIFFUSION: AN INTRODUCTION
2008
After a short excursion from discovery of Brownian motion to the Richardson "law of four thirds" in turbulent diffusion, the article introduces the L\'{e}vy flight superdiffusion as a self-similar L\'{e}vy process. The condition of self-similarity converts the infinitely divisible characteristic function of the L\'{e}vy process into a stable characteristic function of the L\'{e}vy motion. The L\'{e}vy motion generalizes the Brownian motion on the base of the $\alpha$-stable distributions theory and fractional order derivatives. The further development of the idea lies on the generalization of the Langevin equation with a non-Gaussian white noise source and the use of functional approach. Th…