✦ LIBER ✦

Soluble models for dynamics driven by a super-diffusive noise

✍ Scribed by Max-Olivier Hongler; Roger Filliger; Philippe Blanchard

Book ID: 103880558
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 338 KB
Volume: 370
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2006.02.036

No coin nor oath required. For personal study only.

✦ Synopsis

We explicitly discuss scalar Langevin type of equations where the deterministic part is linear, but where the integrated noise source is a non-linear diffusion process exhibiting superdiffusive behavior. We calculate transient and stationary probabilities and study the possibility of noise induced transitions from a unimodal to a bimodal probability shape. Illustrations from finance and dynamical systems are given.

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