Power laws from randomly sampled continuous-time random walks

It has been shown by Reed that random-sampling a Wiener process x(t) at times T chosen out of an exponential distribution gives rise to power laws in the distribution P(x(T))∼x(T)-β. We show, both theoretically and numerically, that this power-law behaviour also follows by random-sampling Lévy flights (as continuous-time random walks), having Fourier distribution w^(k)=e-|k|α, with the exponent β=α.

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Year of publication:	2007
Authors:	Mosetti, Giancarlo ; Jug, Giancarlo ; Scalas, Enrico
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 375.2007, 1, p. 233-238
Publisher:	Elsevier
Subject:	Continuous-time random walks \| Population dynamics \| Power laws

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011057839