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LevyStableProcess

oxiphysics_core::stochastic_processes

Struct LevyStableProcess 

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pub struct LevyStableProcess {
    pub alpha: f64,
    pub beta: f64,
    pub c: f64,
    pub mu: f64,
    /* private fields */
}
Expand description

Lévy stable process with four parameters.

A Lévy stable distribution is characterised by (alpha, beta, c, mu) where:

  • alpha in (0, 2]: stability index (2 = Gaussian, 1 = Cauchy)
  • beta in [-1, 1]: skewness parameter
  • c > 0: scale parameter
  • mu: location parameter

Fields§

§alpha: f64

Stability index alpha in (0, 2].

§beta: f64

Skewness beta in [-1, 1].

§c: f64

Scale c > 0.

§mu: f64

Location mu.

Implementations§

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impl LevyStableProcess

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pub fn new(alpha: f64, beta: f64, c: f64, mu: f64, seed: u64) -> Self

Creates a new Lévy stable process.

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pub fn increments(&self, n: usize) -> Vec<f64>

Generate a path of increments (not cumulative).

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pub fn path(&self, n: usize) -> Vec<f64>

Generate a cumulative path (random walk with Lévy increments).

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