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.
Authors
- Olga Aryasova (ORCID: https://orcid.org/0000-0002-5870-8349)
- Ilya Pavlyukevich (ORCID: https://orcid.org/0000-0002-2059-0912)
- Aleksei V. Chechkin (ORCID: https://orcid.org/0000-0002-3803-1174)
- Oleksii Kulyk
Institutions
- Wrocław University of Science and Technology (PL)
- Max Planck Institute of Microstructure Physics (DE)
- Friedrich Schiller University Jena (DE)
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
- 0.00