Search results for "Lévy flight"
showing 10 items of 25 documents
Levy flights in confining environments: Random paths and their statistics
2013
We analyze a specific class of random systems that are driven by a symmetric L\'{e}vy stable noise. In view of the L\'{e}vy noise sensitivity to the confining "potential landscape" where jumps take place (in other words, to environmental inhomogeneities), the pertinent random motion asymptotically sets down at the Boltzmann-type equilibrium, represented by a probability density function (pdf) $\rho_*(x) \sim \exp [-\Phi (x)]$. Since there is no Langevin representation of the dynamics in question, our main goal here is to establish the appropriate path-wise description of the underlying jump-type process and next infer the $\rho (x,t)$ dynamics directly from the random paths statistics. A pr…
Dynamics of two competing species in the presence of Lévy noise sources
2010
We consider a Lotka-Volterra system of two competing species subject to multiplicative alpha-stable Lévy noise. The interaction parameter between the species is a random process which obeys a stochastic differential equation with a generalized bistable potential in the presence both of a periodic driving term and an additive alpha-stable Lévy noise. We study the species dynamics, which is characterized by two different regimes, exclusion of one species and coexistence of both. We find quasi-periodic oscillations and stochastic resonance phenomenon in the dynamics of the competing species, analysing the role of the Lévy noise sources.
Dynamics of a Lotka-Volterra system in the presence of non-Gaussian noise sources
2009
We consider a Lotka-Volterra system of two competing species subject to multiplicative α-stable Lévy noise. The interaction parameter between the species is a random process which obeys a stochastic differential equation with a generalized bistable potential in the presence both of a periodic driving term and an additive alpha-stable Lévy noise. We study the species dynamics, which is characterized by two different dynamical regimes, exclusion of one species and coexistence of both ones, analyzing the role of the Lévy noise sources.
Econophysics: Scaling and its breakdown in finance
1997
We discuss recent empirical results obtained by analyzing high-frequency data of a stock market index, the Standard and Poor’s 500. We focus on the scaling properties and on its breakdown of the index dynamics. A simple stochastic model, the truncated Levy flight, is illustrated. Successes and limitations of this model are presented. A discussion about similarities and differences between the scaling properties observed in financial markets and in fully developed turbulence is also provided.
Langevin Approach to Levy Flights in Fixed Potentials: Exact Results for Stationary Probability Distributions
2008
The functional method to derive the fractional Fokker-Planck equation for probability distribution from the Langevin equation with Levy stable noise is proposed. For the Cauchy stable noise we obtain the exact stationary probability density function of Levy flights in different smooth potential profiles. We find confinement of the particle in the superdiffusion motion with a bimodal stationary distribution for all the anharmonic symmetric monostable potentials investigated. The stationary probability density functions show power-law tails, which ensure finiteness of the variance. By reviewing recent results on these statistical characteristics, the peculiarities of Levy flights in compariso…
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.
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…
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.
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…