Complete description of a generalized Ornstein–Uhlenbeck process related to the nonextensive Gaussian entropy

We consider a generalized Ornstein–Uhlenbeck process described by a nonlinear Fokker–Planck equation related to the one-parametric, nonextensive Gaussian entropy, which is a special case of the two-parametric Sharma–Mittal entropy. We derive the entire hierarchy of distribution functions for that process and, in doing so, derive a complete description of a stochastic process related to a nonextensive entropy measure.

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Year of publication:	2004
Authors:	Frank, T.D
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 340.2004, 1, p. 251-256
Publisher:	Elsevier
Subject:	Nonlinear families of Markov processes \| Nonlinear Fokker–Planck equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010589263