Related papers: On multifractality and fractional derivatives
Power-law probability distributions are widely used to model extreme statistical events in complex systems, with applications to a vast array of natural phenomena ranging from earthquakes to stock market crashes to pandemics. We show that…
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement and cancelation in a purely order-driven…
Within the point vortex model, we compute the probability distribution function of the velocity fluctuations induced by same-signed vortices scattered within a disk according to a fractal distribution of distances to origin $\sim…
Over the last two decades, it has been argued that the Lorentz transformation mechanism, which imposes the generalization of Newton's classical mechanics into Einstein's special relativity, implies a generalization, or deformation, of the…
[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…
We introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic systems. The model incorporates fitness…
We study quantitatively the level of false multifractal signal one may encounter while analyzing multifractal phenomena in time series within multifractal detrended fluctuation analysis (MF-DFA). The investigated effect appears as a result…
The fractional stable motion is a prototypical stochastic process exhibiting both heavy tails and long-range dependence, parameterized via a stability index $\alpha$ and a Hurst exponent $H$. We consider a nonstationary extension where the…
The escape probability $\xi_{x}$ from a site $x$ of a one-dimensional disordered lattice with trapping is treated as a discrete dynamical evolution by random iterations over nonlinear maps parametrized by the right and left jump…
Large-deviations theory deals with tails of probability distributions and the rare events of random processes, for example spreading packets of particles. Mathematically, it concerns the exponential fall-of of the density of thin-tailed…
We consider stochastic processes where randomly chosen particles with positive quantities x, y (> 0) interact and exchange the quantities asymmetrically by the rule x' = c{(1-a) x + b y}, y' = d{a x + (1-b) y} (x \ge y), where (0 \le) a, b…
We prove duality between the left and right fractional derivatives, independently on the type of fractional operator. Main result asserts that the right derivative of a function is the dual of the left derivative of the dual function or,…
We present a number models describing the sequential deposition of a mixture of particles whose size distribution is determined by the power-law $p(x) \sim \alpha x^{\alpha-1}$, $x\leq l$ . We explicitly obtain the scaling function in the…
In this paper we consider a Caputo type fractional derivative with respect to another function. Some properties, like the semigroup law, a relationship between the fractional derivative and the fractional integral, Taylor's Theorem,…
We study the probability density function for the fluctuations of the magnetic order parameter in the low temperature phase of the XY model of finite size. In two-dimensions this system is critical over the whole of the low temperature…
In this paper we tackle the problem of estimating the power-law tail exponent of income distributions by using the Hill's estimator. A subsample semi-parametric bootstrap procedure minimising the mean squared error is used to choose the…
The upper tail problem in the Erd\H{o}s--R\'enyi random graph $G\sim\mathcal{G}_{n,p}$ asks to estimate the probability that the number of copies of a graph $H$ in $G$ exceeds its expectation by a factor $1+\delta$. Chatterjee and Dembo…
The present paper is devoted to the relativistic statistical theory, introduced in Phys. Rev. E {\bf 66} (2002) 056125 and Phys. Rev. E {\bf 72} (2005) 036108, predicting the particle distribution function $p(E)= \exp_{\kappa}…
Lyapunov exponents characterize the chaotic nature of dynamical systems by quantifying the growth rate of uncertainty associated with the imperfect measurement of initial conditions. Finite-time estimates of the exponent, however,…
Strong violations of existing fluctuation theorems may arise in nonequilibrium steady states characterized by distributions with power-law tails. The ratio of the probabilities of positive and negative fluctuations of equal magnitude…