How to simulate Lévy flights in a steep potential: An explicit splitting numerical scheme

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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Publication Details

Journal
Chaos An Interdisciplinary Journal of Nonlinear Science
Published
2025-12-01
DOI
https://doi.org/10.1063/5.0301147
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
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article

How to simulate Lévy flights in a steep potential: An explicit splitting numerical scheme

Olga Aryasova, Ilya Pavlyukevich, Aleksei V. Chechkin, Oleksii Kulyk
Chaos An Interdisciplinary Journal of Nonlinear Science
Stochastic processes and financial applications
article

How to simulate Lévy flights in a steep potential: An explicit splitting numerical scheme

Olga Aryasova, Ilya Pavlyukevich, Aleksei V. Chechkin, Oleksii Kulyk
article en

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.

Chaos An Interdisciplinary Journal of Nonlinear ScienceVol. 35(12)
Wrocław University of Science and Technology (PL), Max Planck Institute of Microstructure Physics (DE), Friedrich Schiller University Jena (DE)
Openalex Percentile: Top 57%
Stochastic processes and financial applications
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How to simulate Lévy flights in a steep potential: An explicit splitting numerical scheme — Olga Aryasova, Ilya Pavlyukevich, et al. · Chaos An Interdisciplinary Journal of Nonlinear Science (2025) | TGRS Research Map | TGRS