Soluble models for dynamics driven by a super-diffusive noise

Max-Olivier Hongler, Roger Filliger and Philippe Blanchard

Physica A: Statistical Mechanics and its Applications, 2006, vol. 370, issue 2, 301-315

Abstract: 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.

Keywords: Superdiffusive noise; Exactly solvable stochastic models (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:370:y:2006:i:2:p:301-315

DOI: 10.1016/j.physa.2006.02.036

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