Soluble models for dynamics driven by a super-diffusive noise

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 t...

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Bibliographic Details
Published in:Physica A 2006-10, Vol.370 (2), p.301-315
Main Authors: Hongler, Max-Olivier, Filliger, Roger, Blanchard, Philippe
Format: Article
Language:English
Subjects:
Exactly solvable stochastic models
Superdiffusive noise
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Summary: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.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2006.02.036