A growth–collapse model: Lévy inflow, geometric crashes, and generalized Ornstein–Uhlenbeck dynamics

Iddo Eliazar and Joseph Klafter

Physica A: Statistical Mechanics and its Applications, 2004, vol. 334, issue 1, 1-21

Abstract: We introduce and study a stochastic growth–collapse model. The growth process is a steady random inflow with stationary, independent, and non-negative increments. Crashes occur according to an arbitrary renewal process, they are geometric, and their magnitudes are random and are governed by an arbitrary distribution on the unit interval. If the system's pre-crash level is X>0, and the crash magnitude is 0Keywords: Lévy growth; Geometric crashes; Generalized Ornstein–Uhlenbeck dynamics; Avalanches; Power-laws; Linnik equilibria (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437103010896
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:334:y:2004:i:1:p:1-21

DOI: 10.1016/j.physa.2003.11.007

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().