The gradually truncated Levy flight for systems with power-law distributions
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Elsevier B.V.
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Power-law distributions have been observed in various economical and physical systems. Levy flights have infinite variance which discourage a physical approach. We introduce a class of stochastic processes, the gradually truncated Levy flight in which large steps of a Levy flight are gradually eliminated. It has finite variance and the system can be analyzed in a closed form. We applied the present method to explain the distribution of a particular economical index. The present method can be applied to describe time series in a variety of fields, i.e. turbulent flow, anomalous diffusion, polymers, etc. (C) 1999 Elsevier B.V. B.V. All rights reserved.
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Physica A. Amsterdam: Elsevier B.V., v. 268, n. 1-2, p. 231-239, 1999.
