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Concept
Lévy flight
Résumé
A Lévy flight is a random walk in which the step-lengths have a stable distribution, a probability distribution that is heavy-tailed. When defined as a walk in a space of dimension greater than one, the steps made are in isotropic random directions. Later researchers have extended the use of the term "Lévy flight" to also include cases where the random walk takes place on a discrete grid rather than on a continuous space.
The term "Lévy flight" was coined by Benoît Mandelbrot, who used this for one specific definition of the distribution of step sizes. He used the term Cauchy flight for the case where the distribution of step sizes is a Cauchy distribution, and Rayleigh flight for when the distribution is a normal distribution (which is not an example of a heavy-tailed probability distribution).
The particular case for which Mandelbrot used the term "Lévy flight" is defined by the survivor function of the distribution of step-sizes, U, being
Here D is a parameter related to the fractal dimension and the distribution is a particular case of the Pareto distribution.
Lévy flights are, by construction, Markov processes. For general distributions of the step-size, satisfying the power-like condition, the distance from the origin of the random walk tends, after a large number of steps, to a stable distribution due to the generalized central limit theorem, enabling many processes to be modeled using Lévy flights.
The probability densities for particles undergoing a Levy flight can be modeled using a generalized version of the Fokker–Planck equation, which is usually used to model Brownian motion. The equation requires the use of fractional derivatives. For jump lengths which have a symmetric probability distribution, the equation takes a simple form in terms of the Riesz fractional derivative. In one dimension, the equation reads as
where γ is a constant akin to the diffusion constant, α is the stability parameter and f(x,t) is the potential. The Riesz derivative can be understood in terms of its Fourier Transform.
Source officielle
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