Related papers: Levy Stability Index from Multifractal Spectrum
Bouncing solutions are obtained from a generally covariant action characterized by a potential which is a nonlocal functional of the dilaton field at two separated space-time points. Gradient instabilities are shown to arise in this context…
We complement and extend our work on fluctuation relations arising in nonequilibrium systems in steady states driven by L\'evy noise [Phys. Rev. E 76, 020101(R) (2006)]. As a concrete example, we consider a particle subjected to a drag…
Stability of spatially inhomogeneous solutions to the Vlasov equation is investigated for the Hamiltonian mean-field model to provide the spectral stability criterion and the formal stability criterion in the form of necessary and…
Voltage stability in modern power systems involves coupled dynamics across multiple time scales. Conventional methods based on time-scale separation or static stability margins may overlook instabilities caused by the coupling of slow and…
We present a multiple-scattering model for the effective refractive index of an arbitrarily dense suspension of forward-scattering particles. The model provides a very simple formula for the effective refractive index of such a suspension…
This paper investigates the robust stability and stabilization analysis of interval fractional-order systems with time-varying delay. The stability problem of such systems is solved first, and then using the proposed results a stabilization…
We perform a non-linear analysis of a fluid-fluid wavy-stratified flow using a simplified two-fluid model, i.e., the fixed-flux model (FFM) which is an adaptation of shallow water theory for the two-layer problem. Linear analysis using the…
The class of $\alpha$-stable distributions received much interest for modelling impulsive phenomena occur in engineering, economics, insurance, and physics. The lack of non-analytical form for probability density function is considered as…
The tight-binding model for a chain, where the hopping constants follow a Fibonacci sequence, predicts multifractality in the spectrum and wavefunctions. Experimentally, we realize this model by chains of small dielectric resonators with…
In this paper, we propose a price staleness factor model that accounts for pervasive market friction across assets and incorporates relevant covariates. Using large-panel high-frequency data, we derive the maximum likelihood estimators of…
This article aims to study fractal interpolation functions corresponding to a sequence of iterated function systems (IFSs). For a suitable choice of a sequence of IFS parameters, the corresponding non-stationary fractal function is a better…
The non-linear dynamics of long-wavelength cosmological fluctuations may be phrased in terms of an effective classical, but stochastic evolution equation. The stochastic noise represents short-wavelength modes that continually redshift into…
We establish an explicit pricing formula for the class of L\'evy-stable models with maximal negative asymmetry (Log-L\'evy model with finite moments and stability parameter $1<\alpha\leq 2$) in the form of rapidly converging series. The…
The presence of multifractality in a time series shows different correlations for different time scales as well as intermittent behaviour that cannot be captured by a single scaling exponent. The identification of a multifractal nature…
Predicting how systems respond to external perturbations far from equilibrium remains a fundamental challenge across physics, chemistry, and biology. We present a unified response framework for stochastic Markov dynamics that integrates…
We develop a powerful yet simple method that generates multifractal fields with fully controlled scaling properties. Adopting the Multifractal Random Walk (MRW) model of Bacry et al. (2001), synthetic multifractal fields are obtained from…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…
In this paper, we study modulation instabilities (MI) in a one-dimensional chain configuration of a flexible mechanical metamaterial (flexMM). Using the lumped element approach, flexMMs can be modeled by a coupled system of discrete…
Recently, various models have been developed, including the fractional Brownian motion (fBm), to analyse the stochastic properties of geodetic time series, together with the extraction of geophysical signals. The noise spectrum of these…
We analyze the spectral stability of small-amplitude, periodic, traveling-wave solutions of the Kawahara equation. These solutions exhibit high-frequency instabilities when subject to bounded perturbations on the whole real line. We…