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Cómo simular vuelos de Lévy en un potencial pronunciado: un esquema numérico de división explícita
I Pavlyukevich1, O Aryasova1, A Chechkin2
1Institute of Mathematics, Friedrich Schiller University Jena, Inselplatz 5, 07743 Jena, Germany.
Abstract:
We propose an effective explicit numerical scheme for simulating solutions of stochastic differential equations with confining superlinear drift terms, driven by multiplicative heavy-tailed Lévy noise. The scheme is designed to prevent explosion and accurately capture all finite moments of the solutions. In the purely Gaussian case, it correctly reproduces moments of sub-Gaussian tails of the solutions. This method is particularly well-suited for approximating statistical moments and other probabilistic characteristics of Lévy flights in steep potential landscapes.
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