Exact Moment Scaling from Multiplicative Noise
Statistical Mechanics
2010-03-18 v2
Abstract
For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments at all times. We allow for a non trivial time dependence of the microscopic dynamics and we analytically characterize the process evolution, possibly towards a stationary state, and the direct relationship existing between the drift and diffusion coefficients and the time scaling of the moments.
Cite
@article{arxiv.0911.5662,
title = {Exact Moment Scaling from Multiplicative Noise},
author = {Giacomo Bormetti and Danilo Delpini},
journal= {arXiv preprint arXiv:0911.5662},
year = {2010}
}
Comments
4 pages, 3 figures. Final version accepted for publication on Phys. Rev. E as Brief Report