کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
979679 | 1645122 | 2006 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Power-law distributions in random multiplicative processes with non-Gaussian colored multipliers
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
One class of universal mechanisms that generate power-law probability distributions is that of random multiplicative processes. In this paper, we consider a multiplicative Langevin equation driven by non-Gaussian colored multipliers. We analytically derive a formula that relates the power-law exponent to the statistics of the multipliers and numerically confirm its validity using multiplicative noise generated by chaotic dynamical systems and by a two-valued Markov process. We also investigate the relationship between our treatment and the large deviation analysis of time series, and demonstrate the appearance of log-periodic fluctuations superimposed on the power-law distribution due to the non-Gaussian nature of the multipliers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 370, Issue 2, 15 October 2006, Pages 539–552
Journal: Physica A: Statistical Mechanics and its Applications - Volume 370, Issue 2, 15 October 2006, Pages 539–552
نویسندگان
Shuya Kitada,