Langevin Picture of Lévy Walks and Their Extensions

In this paper we derive Langevin picture of Lévy walks. Applying recent advances in the theory of coupled continuous time random walks we find a limiting process of the properly scaled Lévy walk. Next, we introduce extensions of Levy walks, in which jump sizes are some functions of waiting times. We prove that under proper scaling conditions, such generalized Lévy walks converge in distribution to the appropriate limiting processes. We also derive the corresponding fractional diffusion equations and investigate behavior of the mean square displacements of the limiting processes, showing that different coupling functions lead to various types of anomalous diffusion.     

Lévy Flights in a Steep Potential Well

Lévy flights in steeper than harmonic potentials have been shown to exhibit finite variance and a critical time at which a bifurcation from an initial monomodal to a terminal bimodal distribution occurs (Chechkin et al., Phys. Rev. E 67:010102(R) (2003)). In this paper, we present a detailed study of Lévy flights in potentials of the type U(x)∝|x| ^c with c>2. Apart from the bifurcation into bimodality, we find the interesting result that for c>4 a trimodal transient exists due to the temporal overlap between the decay of the central peak around the initial δ-condition and the building up of the two emerging side-peaks, which are characteristic for the stationary state. Thus, for certain system parameters there exists a transient trimodal distribution of the Lévy flight. These properties of Lévy flights in external potentials of the power-law type can be represented by certain phase diagrams. We also present details about the proof of multimodality and the numerical procedures to establish the probability distribution of the process.     

Lévy statistics for random single-molecule line shapes in a glass

We demonstrate that the statistical behavior of random line shapes of single tetra-tert-butylterrylene chromophores embedded in an amorphous polyisobutylene matrix at T=2 K is described by Lévy statistics as predicted theoretically by Barkai, Silbey, and Zumofen [Phys. Rev. Lett. 84, 5339 (2000)]. This behavior is a manifestation of the long-range interaction between two-level systems in the glass and the single molecule. A universal amplitude ratio is investigated, which shows that the standard tunneling model assumptions are compatible with the experimental data.     

Time characteristics of Lévy flights in a steep potential well

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.     

Fractal transit networks: Self-avoiding walks and Lévy flights

Using the data on the Berlin public transport network, the present study extends previous observations of fractality within public transport routes by showing that also the distribution of inter-station distances along routes displays non-trivial power law behaviour. This indicates that the routes may in part also be described as Lévy-flights. The latter property may result from the fact that the routes are planned to be adapted to the fluctuating demand densities throughout the served area. We also relate this to optimization properties of Lévy flights.     

Beyond Black-Scholes: semimartingales and Lévy processes for option pricing

We consider the problem of option pricing when the underlying asset follows a general semimartingale process. After reviewing the foundations of arbitrage pricing theory for semimartingales and the link with Lévy processes, we introduce a general method to price options in this framework based on Fourier and Wavelet analysis. Received 4 September 2000     

Recurrence and Transience of Random Walks¶in Random Environments on a Strip

We explain the necessary and sufficient conditions for recurrent and transient behavior of a random walk in a stationary ergodic random environment on a strip in terms of properties of a top Lyapunov exponent. This Lyapunov exponent is defined for a product of a stationary sequence of positive matrices. In the one-dimensional case this approach allows us to treat wider classes of random walks than before. Received: 15 March 2000 / Accepted: 14 April 2000     

Power, Lévy, exponential and Gaussian-like regimes in autocatalytic financial systems

We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws in the size distribution of their individual elements. The exponents α of these power laws are time independent and depend only on the way the elements with very small values are treated. These truncated power laws determine the collective time evolution of the system. In particular the global stochastic fluctuations of the system differ from the normal Gaussian noise according to the time and size scales at which these fluctuations are considered. We describe the ranges in which these fluctuations are parameterized respectively by: the Lévy regime α < 2, the power law decay with large exponent ( α > 2), and the exponential decay. Finally we relate these results to the large exponent power laws found in the actual behavior of the stock markets and to the exponential cut-off detected in certain recent measurement. Received 29 July 2000 and Received in final form 25 September 2000     

Nonexponential decoherence and momentum subdiffusion in a quantum lévy kicked rotator

We investigate decoherence in the quantum kicked rotator (modeling cold atoms in a pulsed optical field) subjected to noise with power-law tail waiting-time distributions of variable exponent (Lévy noise). We demonstrate the existence of a regime of nonexponential decoherence where the notion of a decoherence rate is ill defined. In this regime, dynamical localization is never fully destroyed, indicating that the dynamics of the quantum system never reaches the classical limit. We show that this leads to quantum subdiffusion of the momentum, which should be observable in an experiment.     

Effects of Lvy noise and immune delay on the extinction behavior in a tumor growth model

The combined effects of Lvy noise and immune delay on the extinction behavior in a tumor growth model are explored. The extinction probability of tumor with certain density is measured by exit probability. The expression of the exit probability is obtained using the Taylor expansion and the infinitesimal generator theory. Based on numerical calculations, it is found that the immune delay facilitates tumor extinction when the stability index α < 1, but inhibits tumor extinction when the stability index α > 1. Moreover, larger stability index and smaller noise intensity are in favor of the extinction for tumor with low density. While for tumor with high density, the stability index and the noise intensity should be reduced to promote tumor extinction.     

Optimizing the encounter rate in biological interactions: Lévy versus Brownian strategies

An important application involving two-species reaction-diffusion systems relates to the problem of finding the best statistical strategy for optimizing the encounter rate between organisms. We investigate the general problem of how the encounter rate depends on whether organisms move in Lévy or Brownian random walks. By simulating a limiting generalized searcher-target model (e.g., predator-prey, mating partner, pollinator-flower), we find that Lévy walks confer a significant advantage for increasing encounter rates when the searcher is larger or moves rapidly relative to the target, and when the target density is low.     

On Fractional Lévy Processes: Tempering,Sample Path Properties and Stochastic Integration

Journal of Statistical Physics - We define two new classes of stochastic processes, called tempered fractional Lévy process of the first and second kinds (TFLP and TFLP II, respectively). TFLP...