Publication Date:
2010
Short description:
Exact moment scaling from multiplicative noise / Bormetti, G., Delpini, D.. - 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.
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.
Iris type:
1.1 Articolo in rivista
Keywords:
FOKKER-PLANCK EQUATION; STATISTICS; Statistical Physics
List of contributors:
Bormetti, G; Delpini, Danilo
Published in: