182 citations · 350 across the 8 of their papers we have counts for
8 papers
French Roadmap for complex Systems 2008-2009
Paul Bourgine, David Chavalarias, Edith Perrier +78
This second issue of the French Complex Systems Roadmap is the outcome of the Entretiens de Cargese 2008, an interdisciplinary brainstorming session organized over one week in 2008…
Fractional Fokker--Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises
D. Schertzer, M. Larchev, J. Duan +2
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. In this paper, we derive a Fractional…
Multifractal fluctuations in finance
F. Schmitt, D. Schertzer, S. Lovejoy
We consider the structure functions S^(q)(T), i.e. the moments of order q of the increments X(t+T)-X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S^(q…
Levy Anomalous Diffusion and Fractional Fokker--Planck Equation
V. V. Yanovsky, A. V. Chechkin, D. Schertzer +1
We demonstrate that the Fokker-Planck equation can be generalized into a 'Fractional Fokker-Planck' equation, i.e. an equation which includes fractional space differentiations, in…
Generalized Stable Multivariate Distribution and Anisotropic Dilations
D. Schertzer, M. Larcheveque, J. Duan +1
After having closely re-examined the notion of a Lévy's stable vector, it is shown that the notion of a stable multivariate distribution is more general than previously defined. In…
Fractional Fokker-Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises
D. Schertzer, M. Larchevêque, J. Duan +2
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. However, there are both theoretical an…