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Exact moment scaling from multiplicative noise

Articolo
Data di Pubblicazione:
2010
Citazione:
Exact moment scaling from multiplicative noise / Bormetti, G; Delpini, Danilo. - In: PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS. - ISSN 1539-3755. - 81:3(2010), pp. 032102.032102-1-032102.032102-4. [10.1103/PhysRevE.81.032102]
Abstract:
For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well
as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments
at all times. We allow for a nontrivial time dependence of the microscopic dynamics and we analytically
characterize the process evolution, possibly toward a stationary state, and the direct relationship existing
between the drift and diffusion coefficients and the time scaling of the moments.
Tipologia CRIS:
1.1 Articolo in rivista
Keywords:
FOKKER-PLANCK EQUATION; STATISTICS; Statistical Physics
Elenco autori:
Bormetti, G; Delpini, Danilo
Autori di Ateneo:
DELPINI Danilo
Link alla scheda completa:
https://iris.uniss.it/handle/11388/79230
Pubblicato in:
PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS
Journal
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URL

http://journals.aps.org/pre/abstract/10.1103/PhysRevE.81.032102
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