We nd that intervals between successive drops from a leaky faucet display scale-invariant, long-range anticorrelations characterized by the same exponents of heart beat-to-beat intervals of healthy subjects. This behavior is also connrmed by numerical simulations on lattice and it is faucet-width-and ow-rate-independent. The histogram for the drop intervals is also well described by a L evy dis...

Distributed generation (DG) offers several benefits to the electrical system, such as reduction of losses and improvement voltage profile. DG can be maximized when allocation sizing are optimal — a problem known Optimal Sizing Placement Generation (OSPDG). This paper presents new meta-heuristic that associates PSO (Particle Swarm Optimization) with L´evy flights (LF) solve OSPDG, identified in ...

This note describes estimation algorithms for generalized hyperbolic hyperbolic and nor mal inverse Gaussian distributions These distributions provide a better t to empirically observed log return distributions of nancial assets than the classical normal distributions Based on the better t to the semi heavy tails of nancial assets we can compute more realistic Value at Risk estimates The modell...

A generic model of stochastic autocatalytic dynamics with many degrees of freedom wi, i = 1; : : : ; N is studied using computer simulations. The time evolution of the wi's combines a random multiplicative dynamics wi(t + 1) = wi(t) at the individual level with a global coupling through a constraint which does not allow the wi's to fall below a lower cuto given by c w, where w is their momentar...

In this paper we give easy-to-implement closed-form expressions for European and Asian Greeks general L2-payoff functions underlying assets in an exponential L\'evy process model with nonvanishing Brownian motion part. The results are based on Hilbert space valued Malliavin Calculus extend previous from the literature. Numerical experiments suggest, that case of a continuous payoff function, co...

We develop a novel approximate simulation algorithm for the joint law of position, running supremum and time general L\'evy process at an arbitrary finite time. identify error in simple terms. prove that decays geometrically $L^p$ (for any $p\geq 1$) as function computational cost, contrast with polynomial decay approximations available literature. establish central limit theorem construct non-...

Information on the relevant global scales of search space, even if partial, should conceivably enhance performance random searches. Here we show numerically and analytically that paradigmatic uninformed optimal L\'evy searches can be outperformed by informed multiple-scale in one (1D) two (2D) dimensions, when knowledge about landscape is incomplete. We low-density nondestructive regime efficie...

Structures with heavy-tailed distributions of disorder occur widely in nature. The evolution such systems, as foraging for food or the occurrence earthquakes is generally analyzed terms an incoherent series events. But study wave propagation lasing systems requires consideration coherent scattering. We consider distribution energy inside 1D random media which spacing between scatterers follow a...

Let {Zt}t≥0 be a Lévy process with Lévy measure ν and let τ(t) := ∫ t 0 g(r̃(u))du be a random clock, where g is a non-negative function and {r̃(t)}t≥0 is an ergodic diffusion independent of Z. Time-changed Lévy models of the form Xt := Zτt are known to be good models to capture several stylized features of asset prices such as leptokurtic distributions and volatility clustering. In our previous ...