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 transitions from a unimodal to a bimodal probability shape. Illustrations from finance and dynamical systems are given.

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Year of publication:	2006
Authors:	Hongler, Max-Olivier ; Filliger, Roger ; Blanchard, Philippe
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 370.2006, 2, p. 301-315
Publisher:	Elsevier
Subject:	Superdiffusive noise \| Exactly solvable stochastic models

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

Persistent link: https://www.econbiz.de/10010872876