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

T.d Frank

Physica A: Statistical Mechanics and its Applications, 2004, vol. 340, issue 1, 251-256

Abstract: 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.

Keywords: Nonlinear families of Markov processes; Nonlinear Fokker–Planck equations (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:340:y:2004:i:1:p:251-256

DOI: 10.1016/j.physa.2004.04.014

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