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Computer simulation of attractors in stochastic models with α-stable noise

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  • Janicki, Aleksander
  • Weron, Aleksander

Abstract

The aim of this paper is to apply the appropriate numerical, statistical and computer techniques to the construction of approximate solutions to 2nd order stochastic differential equations, subject to large random external disturbances with infinite variance, described by α-stable Lévy motion processes. This provides us with qualitative and quantitative information on their asymptotic behavior, and, in particular, with graphical visualization of stochastic attractors in appropriate phase spaces.

Suggested Citation

  • Janicki, Aleksander & Weron, Aleksander, 1995. "Computer simulation of attractors in stochastic models with α-stable noise," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(1), pages 9-19.
    • Handle: RePEc:eee:matcom:v:39:y:1995:i:1:p:9-19
    DOI: 10.1016/0378-4754(95)00132-H
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    References listed on IDEAS

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    1. West, Bruce J. & Seshadri, V., 1982. "Linear systems with Lévy fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 113(1), pages 203-216.
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    Cited by:

    1. Janusz Gajda & Aleksandra Grzesiek & Agnieszka Wyłomańska, 2023. "Ornstein - Uhlenbeck Process Driven By $$\alpha$$ α -stable Process and Its Gamma Subordination," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-17, March.

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