Multiplicative processes and power laws
Abstract
[Takayasu et al., Phys. Rev.Lett. 79, 966 (1997)] revisited the question of stochastic processes with multiplicative noise, which have been studied in several different contexts over the past decades. We focus on the regime, found for a generic set of control parameters, in which stochastic processes with multiplicative noise produce intermittency of a special kind, characterized by a power law probability density distribution. We briefly explain the physical mechanism leading to a power law pdf and provide a list of references for these results dating back from a quarter of century. We explain how the formulation in terms of the characteristic function developed by Takayasu et al. can be extended to exponents , which explains the ``reason of the lucky coincidence''. The multidimensional generalization of (\ref{eq1}) and the available results are briefly summarized. The discovery of stretched exponential tails in the presence of the cut-off introduced in \cite{Taka} is explained theoretically. We end by briefly listing applications.
Cite
@article{arxiv.cond-mat/9708231,
title = {Multiplicative processes and power laws},
author = {D. Sornette},
journal= {arXiv preprint arXiv:cond-mat/9708231},
year = {2009}
}
Comments
Extended version (7 pages). Phys. Rev. E (to appear April 1998)