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Penland C, Ewald BD. On modelling physical systems with stochastic models: diffusion versus Lévy processes. Philos Trans A Math Phys Eng Sci. 2008;366(1875):2457-76doi: 10.1098/rsta.2008.0051.
Penland, C., & Ewald, B. D. (2008). On modelling physical systems with stochastic models: diffusion versus Lévy processes. Philosophical transactions. Series A, Mathematical, physical, and engineering sciences, 366(1875), 2457-76. https://doi.org/10.1098/rsta.2008.0051
Penland, Cécile, and Ewald, Brian D. "On modelling physical systems with stochastic models: diffusion versus Lévy processes." Philosophical transactions. Series A, Mathematical, physical, and engineering sciences vol. 366,1875 (2008): 2457-76. doi: https://doi.org/10.1098/rsta.2008.0051
Penland C, Ewald BD. On modelling physical systems with stochastic models: diffusion versus Lévy processes. Philos Trans A Math Phys Eng Sci. 2008 Jul 28;366(1875):2457-76. doi: 10.1098/rsta.2008.0051. PMID: 18460435.
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Philos Trans A Math Phys Eng Sci. 2008 Jul 28;366(1875):2457-76. doi: 10.1098/rsta.2008.0051.

On modelling physical systems with stochastic models: diffusion versus Lévy processes.

Philosophical transactions. Series A, Mathematical, physical, and engineering sciences

Cécile Penland, Brian D Ewald

Affiliations

  1. NOAA/ESRL/Physical Sciences Division, 325 Broadway, Boulder, CO 80305, USA. [email protected]

PMID: 18460435 DOI: 10.1098/rsta.2008.0051

Abstract

Stochastic descriptions of multiscale interactions are more and more frequently found in numerical models of weather and climate. These descriptions are often made in terms of differential equations with random forcing components. In this article, we review the basic properties of stochastic differential equations driven by classical Gaussian white noise and compare with systems described by stable Lévy processes. We also discuss aspects of numerically generating these processes.

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