Correlation and relaxation times for a stochastic process with a fat-tailed steady-state distribution

Z. Liu and R.A. Serota

Physica A: Statistical Mechanics and its Applications, 2017, vol. 474, issue C, 301-311

Abstract: We study a stochastic process defined by the interaction strength for the return to the mean and a stochastic term proportional to the magnitude of the variable. Its steady-state distribution is the Inverse Gamma distribution, whose power-law tail exponent is determined by the ratio of the interaction strength to stochasticity. Its time-dependence is characterized by a set of discrete times describing relaxation of respective cumulants to their steady-state values. We show that as the progressively lower cumulants diverge with the increase of stochasticity, so do their relaxation times. We analytically evaluate the correlation function and show that it is determined by the longest of these times, namely the inverse interaction strength, which is also the relaxation time of the mean. We also investigate relaxation of the entire distribution to the steady state and the distribution of relaxation times, which we argue to be Inverse Gaussian.

Keywords: Fokker–Planck; Steady-state; Fat-tailed; Relaxation; Correlation (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:474:y:2017:i:c:p:301-311

DOI: 10.1016/j.physa.2017.01.081

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