Exact moment scaling from multiplicative noise
Copyright policy )Exact moment scaling from multiplicative noise
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 non trivial time dependence of the microscopic dynamics and we analytically characterize the process evolution, possibly towards a stationary state, and the direct relationship existing between the drift and diffusion coefficients and the time scaling of the moments.
4 pages, 3 figures. Final version accepted for publication on Phys. Rev. E as Brief Report
Diffusion, Models, Statistical, Models, Chemical, Statistical Mechanics (cond-mat.stat-mech), Data Interpretation, Statistical, FOKKER-PLANCK EQUATION; STATISTICS; Statistical Physics, FOS: Physical sciences, Computer Simulation, Computer Simulation; Data Interpretation, Statistical; Diffusion; Models, Chemical; Models, Statistical; Condensed Matter Physics; Statistical and Nonlinear Physics; Statistics and Probability, Condensed Matter - Statistical Mechanics
Diffusion, Models, Statistical, Models, Chemical, Statistical Mechanics (cond-mat.stat-mech), Data Interpretation, Statistical, FOKKER-PLANCK EQUATION; STATISTICS; Statistical Physics, FOS: Physical sciences, Computer Simulation, Computer Simulation; Data Interpretation, Statistical; Diffusion; Models, Chemical; Models, Statistical; Condensed Matter Physics; Statistical and Nonlinear Physics; Statistics and Probability, Condensed Matter - Statistical Mechanics
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