New Approach to Multiplicative Stochastic Processes. I
نویسندگان
چکیده
منابع مشابه
0 Functional integral approach for multiplicative stochastic processes
We present a functional formalism to derive a generating functional for correlation functions of a multiplicative stochastic process represented by a Langevin equation. We deduce a path integral over a set of fermionic and bosonic variables without performing any time discretization. The usual prescriptions to define the Wiener integral appear in our formalism in the definition of Green functio...
متن کاملStochastic multiplicative processes with reset events.
We study a stochastic multiplicative process with reset events. It is shown that the model develops a stationary power-law probability distribution for the relevant variable, whose exponent depends on the model parameters. Two qualitatively different regimes are observed, corresponding to intermittent and regular behavior. In the boundary between them, the mean value of the relevant variable is...
متن کاملStochastic Multiplicative Processes for Financial Markets
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with correlated step sizes obeying truncated Lévy-like distribution, and the cross-correlation between relative updated wealths is the origin of the nontrivial propert...
متن کاملContributions to the Theory of Multiplicative Stochastic Processes
The theory of multiplicative stochastic processes is contrasted with the theory of additive stochastic processes. The case of multiplicative factors which are purely random, Gaussian, stochastic processes is treated in detail. In a spirit originally introduced by theoretical work in nuclear magnetic resonance and greatly extended by Kubo, dissipative behavior is demonstrated, on the average, fo...
متن کاملEmpirical Studies of Random Multiplicative Stochastic Processes: Revisit to Lognormals
The statistics involving random multiplicative stochastic processes have been studied empirically. Examples taken here are the duration distribution of disability for aged people, the life span of animals and the population distribution of prefectures in Post-World War II Japan. We found that lognormal distributions show excellent fit with various data for the duration distribution of disabilit...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Progress of Theoretical Physics
سال: 1990
ISSN: 0033-068X
DOI: 10.1143/ptp.84.824