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Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes

Author

Listed:
  • Aleksander Janicki
  • Aleksander Weron

Abstract

CONTENTS: Preliminary remarks; Brownian motion, poisson process, alpha-stable Levy motion; Computer simulation of alpha-stable random variables; Stochastic integration; Spectral representations of stationary processes; Computer approximations of continuous time processes; Examples of alpha-stable stochastic modelling; Convergence of approximate methods; Chaotic behaviour of stationary processes; Hierarchy of chaos for stable and ID stationary processes. Appendix - A guide to simulation.

Suggested Citation

  • Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
  • Handle: RePEc:wuu:hsbook:hsbook9401
    Note: Published by Marcel Dekker, New York
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hsbook/HSBook9401.pdf
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    File URL: http://www.crcpress.com/product/isbn/9780824788827
    File Function: Original published version (CRC/Marcel Dekker)
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