| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 979662 | Physica A: Statistical Mechanics and its Applications | 2006 | 15 Pages |
Abstract
We explicitly discuss scalar Langevin type of equations where the deterministic part is linear, but where the integrated noise source is a non-linear diffusion process exhibiting superdiffusive behavior. We calculate transient and stationary probabilities and study the possibility of noise induced transitions from a unimodal to a bimodal probability shape. Illustrations from finance and dynamical systems are given.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Max-Olivier Hongler, Roger Filliger, Philippe Blanchard,