Related papers: Multifractality of the multiplicative autoregressi…
The Boltzmann-Gibbs probability distributions generated by logarithmically correlated random potentials provide a simple yet nontrivial example of disorder-induced multifractal measures. We introduce and discuss two analytically tractable…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial markets. This reproduces the probability distribution…
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta…
A variety of physical, social and biological systems generate complex fluctuations with correlations across multiple time scales. In physiologic systems, these long-range correlations are altered with disease and aging. Such correlated…
Stochastic resonance is a well established phenomenon, which proves relevant for a wide range of applications, of broad trans-disciplinary breath. Consider a one dimensional bistable stochastic system, characterized by a deterministic…
Nonlinear stochastic differential equations generating signals with 1/f spectrum have been used so far to describe socio-economical systems. In this paper we consider the motion of a Brownian particle in an inhomogeneous environment such…
This paper gives a brief introduction to some important fractional and multifractional Gaussian processes commonly used in modelling natural phenomena and man-made systems. The processes include fractional Brownian motion (both standard and…
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the…
We analyze the multifractality of the fidelity in an engineered Toffoli gate. Using quantum control methods, we define several optimization problems whose global solutions realize the gate in a chain of three qubits with XY Heisenberg…
Varied sensory systems use noise in order to enhance detection of weak signals. It has been conjectured in the literature that this effect, known as stochastic resonance, may take place in central cognitive processes such as the memory…
In this article, we consider the problem of estimating fractional processes based on noisy high-frequency data. Generalizing the idea of pre-averaging to a fractional setting, we exhibit a sequence of consistent estimators for the unknown…
This topic review communicates working experiences regarding interaction of a multiplicity of processes. Our experiences come from climate change modelling, materials science, cell physiology and public health, and macroeconomic modelling.…
We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by L\'{e}vy motion and their finite and infinite superpositions. We…
Complex systems, such as the power grid, are essential for our daily lives. Many complex systems display (multi-)fractal behavior, correlated fluctuations and power laws. Whether the power-grid frequency, an indicator about the balance on…
We provide evidence that for some values of the parameters a simple agent based model, describing herding behavior, yields signals with 1/f power spectral density. We derive a non-linear stochastic differential equation for the ratio of…
It was discovered recently that frictional granular materials can exhibit an important mechanism for instabilities, i.e the appearance of pairs of complex eigenvalues in their stability matrix. The consequence is an oscillatory exponential…
This paper presents a simple technique of multifractal traffic modeling. It proposes a method of fitting model to a given traffic trace. A comparison of simulation results obtained for an exemplary trace, multifractal model and Markov…
The brain criticality hypothesis has largely only characterized brain dynamics in terms of their self-similarity, although experimental evidence suggests that the brain exhibits significant multifractality. To understand how multifractality…
Collisionless suspensions of inertial particles (finite-size impurities) are studied in 2D and 3D spatially smooth flows. Tools borrowed from the study of random dynamical systems are used to identify and to characterise in full generality…