Effects of Randomness on Power Law Tails in Multiplicatively Interacting Stochastic Processes
Statistical Mechanics
2009-11-10 v1 Statistical Finance
Abstract
Effects of randomness on non-integer power law tails in multiplicatively interacting stochastic processes are investigated theoretically. Generally, randomness causes decrease of the exponent of tails and the growth rate of processes. Explicit calculations are performed for two examples: uniformly distributed and two peaked systems. Significant influence is demonstrated when a bare growth rate is low and coupling is weak. It should be emphasized that even the sign of the growth rate can be changed from positive to negative growth.
Cite
@article{arxiv.cond-mat/0312357,
title = {Effects of Randomness on Power Law Tails in Multiplicatively Interacting Stochastic Processes},
author = {Toshiya Ohtsuki and Akihiro Fujihara and Hiroshi Yamamoto},
journal= {arXiv preprint arXiv:cond-mat/0312357},
year = {2009}
}
Comments
7pages