Linear stochastic dynamics with nonlinear fractal properties

Didier Sornette

Physica A: Statistical Mechanics and its Applications, 1998, vol. 250, issue 1, 295-314

Abstract: Stochastic processes with multiplicative noise have been studied independently in several different contexts over the past decades. We focus on the regime, found for a generic set of control parameters, in which stochastic processes with multiplicative noise produce intermittency of a special kind, characterized by a power law probability density distribution. We present a review of applications, highlight the common physical mechanism and summarize the main known results. The distribution and statistical properties of the duration of intermittent bursts are also characterized in detail.

Keywords: Stochastic process; Maps; Power law; Self-affinity; Intermittency (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:250:y:1998:i:1:p:295-314

DOI: 10.1016/S0378-4371(97)00543-8

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