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LevyProcess

oxiphysics_core::random_processes

Struct LevyProcess 

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pub struct LevyProcess;
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Lévy process generators: alpha-stable, variance gamma, CGMY.

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impl LevyProcess

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pub fn alpha_stable( alpha: f64, beta: f64, scale: f64, loc: f64, t: f64, n_steps: usize, seed: u64, ) -> Vec<f64>

Simulate an alpha-stable Lévy process path using Chambers-Mallows-Stuck method.

For index alpha in (0, 2] and skewness beta in [-1, 1]. alpha=2 gives a Gaussian (Brownian motion scaling).

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pub fn variance_gamma( sigma: f64, nu: f64, theta: f64, t: f64, n_steps: usize, seed: u64, ) -> Vec<f64>

Simulate a Variance Gamma (VG) process path.

VG = theta * G + sigma * W(G) where G is a Gamma subordinator.

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pub fn cgmy( c: f64, g: f64, m_param: f64, y: f64, t: f64, n_steps: usize, seed: u64, ) -> Vec<f64>

Simulate a CGMY process path (Carr-Geman-Madan-Yor).

Approximates the process by truncating small jumps and simulating large jumps via a compound Poisson approach.

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pub fn alpha_stable_characteristic_exponent( alpha: f64, beta: f64, u: f64, ) -> f64

Compute the characteristic exponent of an alpha-stable process at frequency u.

For alpha != 1: psi(u) = -|u|^alpha * (1 - ibetasign(u)tan(pialpha/2)).

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